Abstract
In this paper, we study the optimal control problem of a linear quadratic stochastic system where the randomness results from multiplicative noises. Especially, two controllers having access to different information are involved in the system. Different from most of the existing results which are based on the condition that the information of multiplicative noise is known during the design of optimal controllers, we focus on a more general case that the statistical information of the multiplicative noise is inaccessible. Under this setting, we propose a stochastic approximation algorithm to derive the solutions to algebraic Riccati equations (AREs) and obtain the optimal and stabilizing decentralized controllers.
| Original language | English |
|---|---|
| Article number | 107274 |
| Pages (from-to) | 1-15 |
| Number of pages | 15 |
| Journal | Journal of the Franklin Institute |
| Volume | 361 |
| Issue number | 18 |
| DOIs | |
| Publication status | Published - Dec 2024 |
Keywords
- Decentralized control
- Stochastic systems
- Unknown statistics
ASJC Scopus subject areas
- Control and Systems Engineering
- Signal Processing
- Computer Networks and Communications
- Applied Mathematics