Near-optimal control for a singularly perturbed linear stochastic singular system with Markovian jumping parameters

被引：5
|
作者：
Ren, Guoqiang [1 ,2 ]
Liu, Bin [1 ,2 ]
机构：
[1] Huazhong Univ Sci & Technol, Sch Math & Stat, Wuhan 430074, Hubei, Peoples R China
[2] Huazhong Univ Sci & Technol, Hubei Key Lab Engn Modeling & Sci Comp, Wuhan 430074, Hubei, Peoples R China
来源：
EUROPEAN JOURNAL OF CONTROL | 2019年 / 50卷
关键词：
Singularly perturbed; Stochastic generalized coupled differential; Riccati equation; Optimal control; Stochastic singular system; PERTURBATIONS; EQUATION;
D O I：
10.1016/j.ejcon.2019.04.002
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this paper, we investigate the near-optimal control for a singularly perturbed linear stochastic singular system with Markovian jumping parameters. Firstly, we warrant the given system has an impulse-free solution. Secondly, by means of the singular value decomposition, the existence of solution are obtained for the singularly perturbed stochastic generalized coupled differential Riccati equation and establish an existence of solution to parameter-independent system for the stochastic generalized coupled differential Riccati equation. As an application, we apply the existence results to consider the near-optimal control of singularly perturbed linear stochastic singular system with Markovian jumping parameters, and obtain the desired explicit representation of the optimal controllers for the optimal control problem with the finite horizon. (C) 2019 European Control Association. Published by Elsevier Ltd. All rights reserved.
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页码：88 / 95
页数：8
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