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Mean-square optimal controller for stochastic polynomial systems with multiplicative noise

Basin, Michael, Shi, Peng and Solo, Pedro (2011) Mean-square optimal controller for stochastic polynomial systems with multiplicative noise. In: Proceedings of the 2011 American Control Conference. American Control Conference, New York, pp. 54-59.

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Abstract

This paper presents the mean-square optimal quadratic-Gaussian controller for stochastic polynomial systems with a polynomial multiplicative noise, a linear control input, and a quadratic criterion over linear observations. The optimal closed-form controller equations are obtained using the separation principle, whose applicability to the considered problem is substantiated. As an intermediate result, the paper gives a closed-form solution of the optimal regulator (control) problem for stochastic polynomial systems with a polynomial multiplicative noise, a linear control input, and a quadratic criterion. Performance of the obtained optimal controller is verified in the illustrative example against the conventional LQG controller that is optimal for linearized systems. Simulation graphs demonstrating overall performance and computational accuracy of the designed optimal controller are included.

Item Type: Book Section
ISBN: 9781457700811
Uncontrolled Keywords: ResPubID25044, regulators, optimal controllers
Subjects: Faculty/School/Research Centre/Department > Institute for Logistics and Supply Chain Management (ILSCM)
FOR Classification > 0802 Computation Theory and Mathematics
SEO Classification > 970108 Expanding Knowledge in the Information and Computing Sciences
Depositing User: VUIR
Date Deposited: 21 Sep 2012 02:40
Last Modified: 30 Oct 2012 00:28
URI: http://vuir.vu.edu.au/id/eprint/10552
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Citations in Scopus: 1 - View on Scopus

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