Abstract
In stochastic singularly perturbed control systems the meaning of the fast variable is not always clear due to the idealized white-noise model. In this paper the linear quadratic stochastic control problem for a singularly perturbed system is reformulated by using appropriate parameter scalings which are fractional powers of the perturbation parameter. The regions of these parameters are determined so that the variables in both time-scales are well-defined, resulting in a meaningful two time-scale near-optimal solution.
Original language | English |
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Pages (from-to) | 407-411 |
Number of pages | 5 |
Journal | [No source information available] |
State | Published - 1800 |
ASJC Scopus subject areas
- General Engineering