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)|
|Number of pages||10|
|Journal||[No source information available]|
|State||Published - Jan 1 1976|
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