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Abstract In this thesis a new design of on-line observer-based controller for discrete-time stochastic uncertain constrained nonlinear dynamical systems is developed. To achieve this goal, a new technique is firstly proposed to handle estimation problems associated with unconstrained or constrained, deterministic or stochastic, linear or nonlinear discrete-time systems. The estimated states are then used to generate on- line closed loop control strategies either to guarantee system asymptotic stability and/or to satisfy a set of imposed equality and/or inequality constraint. The stability of the designed observer-based control system is analyzed. The effectiveness and simplicity of the developed techniques are illustrated through different examples |