Dynamic disturbance minimization control for discrete non‐linear stochastic systems

A dynamic feedback control scheme is proposed to reduce the effect of process and measurement disturbances of known wave‐form for a class of discrete non‐linear stochastic systems. A Lyapunovbased non‐linear filter developed previously by the authors is utilized for the estimation of the disturbance state and combined with a least‐squares‐type control action in a certainty equivalence manner for disturbance reduction. In order to illustrate the performance of the proposed dynamic disturbance rejection technique, three examples which address some important cases are provided.