Fully Probabilistic Design for Stochastic Discrete System with Multiplicative Noise

Yuyang Zhou, Randa Herzallah, Ana Zafar

Research output: Chapter in Book/Published conference outputConference publication


In this paper, a novel algorithm based on fully probabilistic design (FPD) is proposed for a class of linear stochastic dynamic processes with multiplicative noise. Compared
with the traditional FPD, the new procedure is presented to deal with multiplicative noise and the system parameters are estimated online using linear optimisation methods. The performance index is characterised by the Kullback-Leibler divergence (KLD) distance. The generalised probabilistic control law is obtained by solving a generalised Riccatti equation that takes the multiplicative noise into consideration. To demonstrate the effectiveness of the proposed method, a numerical example is given and the results are compared with the traditional FPD.
Original languageEnglish
Title of host publication2019 IEEE 15th International Conference on Control and Automation, ICCA 2019
Number of pages6
ISBN (Electronic)9781728111643
Publication statusPublished - 19 Jul 2019
EventThe 15th IEEE International Conference on Control and Automation (IEEE ICCA 2019) -
Duration: 16 Jul 2019 → …


ConferenceThe 15th IEEE International Conference on Control and Automation (IEEE ICCA 2019)
Period16/07/19 → …
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