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Decentralized LQ control and stabilization for Itô systems☆

Abstract

This paper investigates the decentralized linear quadratic optimization and stabilization problem for It & ocirc; systems, where the system's controller has two parts: the deterministic and random parts. Unlike previous works, with positive semi-definite weighting matrices, finite-horizon optimization and infinite-horizon stabilization problems are considered. The chief challenge lies in solving the forward and backward stochastic differential equations and selecting the Lyapunov function. The relationship between the forward and backward processes is established using a modified version of the fourstep scheme combined with the information pattern of the problem. The equivalent condition for the optimization problem is obtained based on the Riccati differential equation. Besides, the necessary and sufficient conditions for the stabilization problem are presented using the Lyapunov function defined by the optimal cost function. Finally, numerical examples illustrate the validity of the presented strategies. (c) 2024 Elsevier Ltd. All rights are reserved, including those for text and data mining, AI training, and similar technologies.

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date_range 2024
language English
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Decentralized linear quadratic optimal
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It & ocirc
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Riccati differential equation
Stabilization
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