Near optimal linear quadratic regulator for a singularly perturbed linear stochastic system with multiplicative white noise perturbations and Markovian jumping | IEEE Conference Publication | IEEE Xplore

Near optimal linear quadratic regulator for a singularly perturbed linear stochastic system with multiplicative white noise perturbations and Markovian jumping


Abstract:

We study the optimal control of a class of singularly perturbed linear stochastic systems (SPLSS) with Markovian jumping parameters. After establishing an asymptotic stru...Show More

Abstract:

We study the optimal control of a class of singularly perturbed linear stochastic systems (SPLSS) with Markovian jumping parameters. After establishing an asymptotic structure for the stabilizing solution of the coupled stochastic algebraic Riccati equations (CSAREs), a parameter-independent composite controller is derived. Furthermore, the cost degradation in a reduced-order controller is also discussed.
Date of Conference: 15-18 December 2015
Date Added to IEEE Xplore: 11 February 2016
ISBN Information:
Conference Location: Osaka, Japan

References

References is not available for this document.