Two-level hierarchical control in a large scale stochastic system

In the paper a synthesis of control law for a large scale stochastic system is presented. The system composed of coupled linear static subsystems and quadratic performance index which should be minimized are considered. The problem is solved in a two-level hierarchical control structure with a coordinator on an upper level and local controllers on a lower level. A suboptimal algorithm, in which it is possible to partially decompose calculations and to realize decentralized control, is proposed. A simple example is presented.