1. Decentralized LQ control and stabilization for Itô systems.
- Author
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Sun, Yawen, Li, Hongdan, and Zhang, Huanshui
- Subjects
- *
RICCATI equation , *COST functions , *DIFFERENTIAL equations , *LYAPUNOV functions , *STOCHASTIC differential equations - Abstract
This paper investigates the decentralized linear quadratic optimization and stabilization problem for Itô systems, where the system's controller has two parts: the deterministic and random parts. Unlike previous works, with positive semi-definite weighting matrices, finite-horizon optimization and infinite-horizon stabilization problems are considered. The chief challenge lies in solving the forward and backward stochastic differential equations and selecting the Lyapunov function. The relationship between the forward and backward processes is established using a modified version of the four-step scheme combined with the information pattern of the problem. The equivalent condition for the optimization problem is obtained based on the Riccati differential equation. Besides, the necessary and sufficient conditions for the stabilization problem are presented using the Lyapunov function defined by the optimal cost function. Finally, numerical examples illustrate the validity of the presented strategies. [ABSTRACT FROM AUTHOR]
- Published
- 2024
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