LP-stabilization problem for linear stochastic control systems with multiplicative noise

DOI10.1007/BF00941829MaRDI QIDQ1102919zbMATH OpenFDO

Authors T. Sasagawa

Publication date 1989

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF00941829

zbMATH Keywords

LP-optimal control problemLQ-problemmultiplicative noisepth mean stabilization

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Stochastic systems in control theory (general) (93E03) Stochastic stability in control theory (93E15) Optimal stochastic control (93E20)

Review text

For the deterministic case, a controlled system is always stable as long as we use the control obtained as the solution of a so-called LQ-problem. For the stochastic case, however, a controlled system with multiplicative noise is not always pth mean stable for large p, even if we use the LQ- optimal control. Hence, it is meaningful to solve the LP-optimal control problem (i.e., linear system, pth order cost functional) for each p. In this paper, we define the LP-optimal control problem and completely solve it for the scalar case. For the multidimensional case, we get some results, but the general solution of this problem seems to be impossible. So, we consider the pth mean stabilization problem more intensively and give a sufficient condition for the existence of a pth mean stabilizing control by using the contraction mapping method in a Hilbert space. Some examples are also given.

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Cites work

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Cited in

(6)

• Stability against small noises in control problems with non-Lipschitz right-hand side of the dynamic equation
• Optimal Stabilization of Families of Linear Stochastic Differential Equations with Jump Coefficients and Multiplicative Noise
• scientific article; zbMATH DE number 4127142 (Why is no real title available?)
• scientific article; zbMATH DE number 6311068 (Why is no real title available?)
• New observer‐based controller design for LPV stochastic systems with multiplicative noise
• Parametrization method for calculating exact stability bounds of stochastic linear systems with multiplicative noise

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