このエントリーをはてなブックマークに追加
ID 34755
著者
Dragan, Vasile
Shi, Peng
キーワード
singularly perturbed control systems
asymptotic behavior
stabilizing solution
NDC
情報科学
抄録(英)
This paper discusses an infinite-horizon linear quadratic (LQ) optimal control problem involving state-and control-dependent noise in singularly perturbed stochastic systems. First, an asymptotic structure along with a stabilizing solution for the stochastic algebraic Riccati equation (ARE) are newly established. It is shown that the dominant part of this solution can be obtained by solving a parameter-independent system of coupled Riccati-type equations. Moreover, sufficient conditions for the existence of the stabilizing solution to the problem are given. A new sequential numerical algorithm for solving the reduced-order AREs is also described. Based on the asymptotic behavior of the ARE, a class of O(root epsilon) approximate controller that stabilizes the system is obtained. Unlike the existing results in singularly perturbed deterministic systems, it is noteworthy that the resulting controller achieves an O(epsilon) approximation to the optimal cost of the original LQ optimal control problem. As a result, the proposed control methodology can be applied to practical applications even if the value of the small parameter epsilon is not precisely known.
掲載誌名
SIAM Journal on Control and Optimization
50巻
1号
開始ページ
448
終了ページ
470
出版年月日
2012
出版者
Siam Publications
ISSN
0363-0129
NCID
出版者DOI
言語
英語
NII資源タイプ
学術雑誌論文
広大資料タイプ
学術雑誌論文
DCMIタイプ
text
フォーマット
application/pdf
著者版フラグ
publisher
権利情報
(c) 2012 Society for Industrial and Applied Mathematics
関連情報URL
部局名
工学研究科