Optimal feedback control of strongly non-linear systems excited by bounded noise

A strategy for non-linear stochastic optimal control of strongly non-linear systems subject to external and/or parametric excitations of bounded noise is proposed. A stochastic averaging procedure for strongly non-linear systems under external and/or parametric excitations of bounded noise is first developed. Then, the dynamical programming equation for non-linear stochastic optimal control of the system is derived from the averaged Itô equations by using the stochastic dynamical programming principle and solved to yield the optimal control law. The Fokker–Planck–Kolmogorov equation associated with the fully completed averaged Itô equations is solved to give the response of optimally controlled system. The application and effectiveness of the proposed control strategy are illustrated with the control of cable vibration in cable-stayed bridges and the feedback stabilization of the cable under parametric excitation of bounded noise.