Stochastic Control of Linear Singularly Perturbed Systems

A. H. Haddad; P. V. Kokotovic

doi:10.1109/TAC.1977.1101603

Stochastic Control of Linear Singularly Perturbed Systems

A. H. Haddad, P. V. Kokotovic

Electrical and Computer Engineering

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

32 Scopus citations

Abstract

This paper applies singular perturbation theory to the stochastic control for the Linear-Quadratic-Gaussian (L-Q-G) 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. Copyright #x00A9; 1977 by The Institute of Electrical and Electronics Engineers, Inc.

Original language	English (US)
Pages (from-to)	815-821
Number of pages	7
Journal	IEEE Transactions on Automatic Control
Volume	22
Issue number	5
DOIs	https://doi.org/10.1109/TAC.1977.1101603
State	Published - Oct 1977

ASJC Scopus subject areas

Control and Systems Engineering
Computer Science Applications
Electrical and Electronic Engineering

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abstract = "This paper applies singular perturbation theory to the stochastic control for the Linear-Quadratic-Gaussian (L-Q-G) 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. Copyright #x00A9; 1977 by The Institute of Electrical and Electronics Engineers, Inc.",

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AB - This paper applies singular perturbation theory to the stochastic control for the Linear-Quadratic-Gaussian (L-Q-G) 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. Copyright #x00A9; 1977 by The Institute of Electrical and Electronics Engineers, Inc.

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Stochastic Control of Linear Singularly Perturbed Systems

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