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In this article, a novel control algorithm is developed for a class of nonlinear stochastic systems subject to multiple disturbances, including exogenous dynamic disturbance and general non-Gaussian noise. An observer is designed to estimate the exogenous disturbance, and then the disturbance compensation is incorporated into a feedback control strategy for the non-Gaussian system. Considering the ability of entropy in randomness quantification, a performance index is established based on the generalized entropy optimization principle.
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