Optimal control of singularly perturbed stochastic linear systems
β Scribed by Kabanov, Yu. M. ;Pergamenshchikov, S. M.
- Book ID
- 118030350
- Publisher
- Taylor and Francis Group
- Year
- 1991
- Weight
- 826 KB
- Volume
- 36
- Category
- Article
- ISSN
- 1045-1129
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## Abstract In this paper, the linear quadratic optimal stochastic control problem is investigated for multiparameter singularly perturbed stochastic systems in which __N__ lowerβlevel fast subsystems are interconnected by a higherβlevel slow subsystem. After establishing the asymptotic structure o
A two time-scale lower order design is proposed as a near optimal solution to the fixed-interval smoothing problem for systems with slow and fast modes. The slow mode smoothing solution, in the limit as the perturbation parameter/1-,0, tends to that of the reduced-order problem; and the near optimal