On the linear quadratic optimal control for systems described by singularly perturbed Itô differential equations with two fast time scales (Q2306150)
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English | On the linear quadratic optimal control for systems described by singularly perturbed Itô differential equations with two fast time scales |
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On the linear quadratic optimal control for systems described by singularly perturbed Itô differential equations with two fast time scales (English)
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20 March 2020
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Summary: In this paper a stochastic optimal control problem described by a quadratic performance criterion and a linear controlled system modeled by a system of singularly perturbed Itô differential equations with two fast time scales is considered. The asymptotic structure of the stabilizing solution (satisfying a prescribed sign condition) to the corresponding stochastic algebraic Riccati equation is derived. Furthermore, a near optimal control whose gain matrices do not depend upon small parameters is discussed.
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singularly perturbed linear stochastic systems
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asymptotic structure of the stabilizing solution
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optimal control problem
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Riccati equations of stochastic control
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