DocumentCode
824988
Title
Stochastic control of linear sigularly perturbed systems
Author
Haddad, A.H. ; Kokotovic, P.V.
Author_Institution
University of Illinois, Urbana, IL, USA
Volume
22
Issue
5
fYear
1977
fDate
10/1/1977 12:00:00 AM
Firstpage
815
Lastpage
821
Abstract
This paper applies singular perturbation theory to the stochastic control for the Linear-Quadratic-Gaussian (L-Q-G) problem for systems with fast and slow modes. The limiting behavior of the optimal control and the performance index is investigated. It is shown that the optimal control can be approximated by a near optimal control which is obtained as a combination of a slow control and a fast control computed in separate time scales.
Keywords
Linear systems, stochastic continuous-time; Optimal stochastic control; Perturbation methods; Stochastic optimal control; Control systems; Filtering; Matrix decomposition; Nonlinear filters; Optimal control; Performance analysis; Regulators; Stochastic processes; Stochastic systems; Vectors;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1977.1101603
Filename
1101603
Link To Document