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Media type:
E-Article
Title:
On the Linear Quadratic Optimal Control for Systems Described by Singularly Perturbed Itô Differential Equations with Two Fast Time Scales
Contributor:
Drăgan, Vasile
Published:
MDPI AG, 2019
Published in:
Axioms, 8 (2019) 1, Seite 30
Language:
English
DOI:
10.3390/axioms8010030
ISSN:
2075-1680
Origination:
Footnote:
Description:
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.