Optimal Superexponential Stabilization of Solutions of Linear Stochastic Differential Equations
Autor: | Ekaterina S. Palamarchuk |
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Rok vydání: | 2021 |
Předmět: |
0209 industrial biotechnology
Stochastic process 010102 general mathematics Multiplicative function 02 engineering and technology Function (mathematics) 01 natural sciences Stochastic differential equation 020901 industrial engineering & automation Quadratic equation Zero state response Control and Systems Engineering Convergence (routing) Applied mathematics Almost surely 0101 mathematics Electrical and Electronic Engineering Mathematics |
Zdroj: | Automation and Remote Control. 82:449-459 |
ISSN: | 1608-3032 0005-1179 |
DOI: | 10.1134/s000511792103005x |
Popis: | We consider the problem of superexponential stabilization of a scalar linear controlled stochastic process. The underlying stochastic differential equation contains both additive and multiplicative disturbance terms. To achieve stabilization, an infinite-time control problem is solved. The cost is assumed to be quadratic and having a superexponentially increasing time-weighting function. We study the convergence of the optimal process to a zero state in the mean-square sense and almost surely. |
Databáze: | OpenAIRE |
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