Pareto Optimal Strategy for Stochastic Weakly Coupled Large Scale Systems With State Dependent System Noise

Mukaidani Hiroaki

Xu Hua

IEEE Transactions on Automatic Control

This note is concerned with the decentralized infinite horizon stochastic Pareto-optimal static output feedback strategy for a class of weakly coupled systems with state-dependent noise. First, Pareto-optimal control problems are formulated using a static output feedback strategy. The necessary conditions are given by the cross-coupled stochastic algebraic Riccati-type equations (CSAREs) for proving the existence of the static output feedback strategy that minimizes the quadratic cost function. After determining the asymptotic structure of the solutions of the CSAREs, a new sequential numerical algorithm and Newton's method for solving the CSAREs are described. The resulting numerical solution is used to develop the Pareto-optimal strategy. Finally, the efficiency of the proposed algorithm is demonstrated by solving a numerical example for a practical megawatt-frequency control problem.

Cross-coupled stochastic algebraic Riccati-type equations (CSAREs)

Pareto optimal strategy

static output feedback

stochastic weakly-coupled systems

Mathematics [ 410 ]

eng

IEEE Control Systems Society

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[ISSN] 0018-9286

[DOI] 10.1109/TAC.2009.2026854

[NCID] AA00667671

[DOI] http://dx.doi.org/10.1109/TAC.2009.2026854