Control of some linear stochastic systems with a fractional Brownian motion

Author

Duncan, T.E. ; Pasik-Duncan, B.

Author_Institution

Dept. of Math., Univ. of Kansas, Lawrence, KS, USA

fYear

2009

fDate

15-18 Dec. 2009

Firstpage

8518

Lastpage

8522

Abstract

In this paper a control problem for a linear stochastic system driven by a fractional Brownian motion with a cost functional that is quadratic in the state and the control is considered. An optimal control is given explicitly using fractional calculus and the control is shown to depend on the prediction of the fractional Brownian motion as well as the usual linear feedback control for the linear-quadratic control problem.

Keywords

Brownian motion; calculus; linear quadratic control; linear systems; stochastic systems; cost function; fractional Brownian motion; fractional calculus; linear feedback control; linear quadratic control problem; linear stochastic systems; optimal control; Brownian motion; Control systems; Cost function; Fractional calculus; Gaussian processes; Mathematics; Motion control; Optimal control; Stochastic systems; USA Councils; fractional Brownian motion; linear quadratic Gaussian control; linear regulator;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference. CDC/CCC 2009. Proceedings of the 48th IEEE Conference on

Conference_Location

Shanghai

ISSN

0191-2216

Print_ISBN

978-1-4244-3871-6

Electronic_ISBN

0191-2216

Type

conf

DOI

10.1109/CDC.2009.5400454

Filename

5400454