STOCHASTIC CONTROL OF LINEAR SINGULARLY PERTURBED SYSTEMS.

A. H. Haddad; P. V. Kokotovic

STOCHASTIC CONTROL OF LINEAR SINGULARLY PERTURBED SYSTEMS.

A. H. Haddad^*, P. V. Kokotovic

^*Corresponding author for this work

Electrical and Computer Engineering

Research output: Contribution to journal › Article › peer-review

Abstract

Singular perturbation theory is applied to stochastic control for the Linear-Quadratic-Gaussian (LQG) problem for systems with fast and slow modes. The limiting behavior of the optimal control and the performance index is investigated. It is shown that the optimal control can be approximated by a near optimal control which is obtained as a combination of a slow control and a fast control computed in separate time-scales.

Original language	English (US)
Pages (from-to)	841-850
Number of pages	10
Journal	[No source information available]
State	Published - Jan 1 1976

ASJC Scopus subject areas

Engineering(all)

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Cite this

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title = "STOCHASTIC CONTROL OF LINEAR SINGULARLY PERTURBED SYSTEMS.",

abstract = "Singular perturbation theory is applied to stochastic control for the Linear-Quadratic-Gaussian (LQG) problem for systems with fast and slow modes. The limiting behavior of the optimal control and the performance index is investigated. It is shown that the optimal control can be approximated by a near optimal control which is obtained as a combination of a slow control and a fast control computed in separate time-scales.",

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year = "1976",

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AU - Kokotovic, P. V.

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N2 - Singular perturbation theory is applied to stochastic control for the Linear-Quadratic-Gaussian (LQG) problem for systems with fast and slow modes. The limiting behavior of the optimal control and the performance index is investigated. It is shown that the optimal control can be approximated by a near optimal control which is obtained as a combination of a slow control and a fast control computed in separate time-scales.

AB - Singular perturbation theory is applied to stochastic control for the Linear-Quadratic-Gaussian (LQG) problem for systems with fast and slow modes. The limiting behavior of the optimal control and the performance index is investigated. It is shown that the optimal control can be approximated by a near optimal control which is obtained as a combination of a slow control and a fast control computed in separate time-scales.

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SP - 841

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JO - [No source information available]

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