Optimal control of singularly perturbed stochastic linear systems
This paper deals with the control problem of singularly perturbed linear stochastic differential equations (SDEs), namely the optimal control problem referred to as Mayer's stochastic problem. It is shown that the set of attainability for stochastic open loop controls is densely imbedded in the set of attainability for feedback controls. This papers deals mainly with convergence of the set of attainability for feedback controls. However, in order to prove the convergence result, both classes of admissible controls are considered simultaneously: open loop and feedback controls. The main results are: i) a theorem about the relation between the sets of attainability for feedback and stochastic open loop controls and ii) a theorem about the limiting behaviour of the terminal set of attainability for singular perturbed SDEs with feedback controls.
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