Stabilization and Optimal Control of Interconnected SDE - Scalar PDE System
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arXiv
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| Hauptverfasser: | , , , |
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| Format: | Preprint |
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2024
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| _version_ | 1866913350455132160 |
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| author | Velho, Gabriel Auriol, Jean Bonalli, Riccardo Boussaada, Islam |
| author_facet | Velho, Gabriel Auriol, Jean Bonalli, Riccardo Boussaada, Islam |
| contents | In this paper, we design a controller for an interconnected system consisting of a linear Stochastic Differential Equation (SDE) actuated through a linear hyperbolic Partial Differential Equation (PDE). Our approach aims to minimize the variance of the state of the SDE component. We leverage a backstepping technique to transform the original PDE into an uncoupled stochastic PDE. As such, we reformulate our initial problem as the control of a delayed SDE with a non-deterministic drift. Under standard controllability assumptions, we design a controller steering the mean of the states to zero while keeping its covariance bounded. As final step, we address the optimal control of the delayed SDE employing Artstein's transformation and Linear Quadratic stochastic control techniques. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2405_08600 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Stabilization and Optimal Control of Interconnected SDE - Scalar PDE System Velho, Gabriel Auriol, Jean Bonalli, Riccardo Boussaada, Islam Optimization and Control In this paper, we design a controller for an interconnected system consisting of a linear Stochastic Differential Equation (SDE) actuated through a linear hyperbolic Partial Differential Equation (PDE). Our approach aims to minimize the variance of the state of the SDE component. We leverage a backstepping technique to transform the original PDE into an uncoupled stochastic PDE. As such, we reformulate our initial problem as the control of a delayed SDE with a non-deterministic drift. Under standard controllability assumptions, we design a controller steering the mean of the states to zero while keeping its covariance bounded. As final step, we address the optimal control of the delayed SDE employing Artstein's transformation and Linear Quadratic stochastic control techniques. |
| title | Stabilization and Optimal Control of Interconnected SDE - Scalar PDE System |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2405.08600 |