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Optimal and stable controllable stochastic systems synthesis with incomplete state information on an unbounded time interval

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Abstract

We propose a method of control strategy synthesis for a stochastic dynamical system on an unbounded time interval that provides for the stability of the system and optimality of stabilization cost per unit of time with respect to a given criterion. We assume that a control strategy may depend only on a part of the state vector components subject to measurement. We consider both the general nonlinear and special linear cases.

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Authors and Affiliations

  1. Moscow Aviation Institute (State Technical University), Center of Stability and Nonlinear Dynamics Studies, Blagonravov Institute of Mechanical Engineering, Russian Academy of Sciences, Moscow, Russia

    M. M. Khrustalev

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  1. M. M. Khrustalev
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Original Russian Text © M.M. Khrustalev, 2011, published in Avtomatika i Telemekhanika, 2011, No. 11, pp. 174–190.

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Khrustalev, M.M. Optimal and stable controllable stochastic systems synthesis with incomplete state information on an unbounded time interval. Autom Remote Control 72, 2379–2394 (2011). https://doi.org/10.1134/S0005117911110129

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  • DOI: https://doi.org/10.1134/S0005117911110129

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