On the Linear Quadratic Optimal Control for Systems Described by Singularly Perturbed Ito Differential Equations with Two Fast Time Scales

被引：6

作者：

Dragan, Vasile ^{[1
]}

机构：

[1] Inst Math Simion Stoilow Romanian Acad, RO-014700 Bucharest, Romania

来源：

AXIOMS | 2019年 / 8卷 / 01期

关键词：

singularly perturbed linear stochastic systems; asymptotic structure of the stabilizing solution; optimal control problem; Riccati equations of stochastic control; STABILITY ANALYSIS;

D O I：

10.3390/axioms8010030

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper a stochastic optimal control problem described by a quadratic performance criterion and a linear controlled system modeled by a system of singularly perturbed Ito differential equations with two fast time scales is considered. The asymptotic structure of the stabilizing solution (satisfying a prescribed sign condition) to the corresponding stochastic algebraic Riccati equation is derived. Furthermore, a near optimal control whose gain matrices do not depend upon small parameters is discussed.

引用

页数：22

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