Stochastic Pareto near-optimal strategy for weakly-coupled large-scale systems with imperfect local state measurements

This paper is concerned with the infinite horizon stochastic Pareto-optimal static output feedback control problem for a class of weakly-coupled large-scale systems with state-dependent noise. Necessary conditions, which are related with the solutions of the cross-coupled stochastic algebraic Riccati equations (CSAREs), are given for the existence of a controller that guarantees exponentially mean square stable (EMSS) of the system and minimizes a cost function. After analyzing the asymptotic structure for the solutions of the CSAREs, we will construct a parameter independent Pareto near-optimal controller. We will also propose a new sequential numerical algorithm for solving the reduced-order CSAREs. A numerical example for a practical megawatt-frequency control problem will be solved to show the efficiency of the proposed algorithm.