Robust output feedback stabilization via risk-sensitive control

We consider a problem of robust linear quadratic Gaussian (LQG) control for discrete-time stochastic uncertain systems with partial state measurements. For a 6nite-horizon case, the problem was recently introduced by Petersen et al. (IEEE Trans. Automat. Control 45 (2000) 398). In this paper, an in6nite horizon extension of the results of Petersen et al. (IEEE Trans. Automat. Control 45 (2000) 398) is discussed. We show that for a broad class of uncertain systems under consideration, a controller constructed in terms of the solution to a specially parameterized risk-sensitive stochastic control problem absolutely stabilizes the stochastic uncertain system. ? 2002 Elsevier Science Ltd. All rights reserved.