Referenced Items are not available for this document.
This paper applies singular perturbation theory to the stochastic control for the Linear-Quadratic-Gaussian (L-Q-G) problem for systems with fast and slow modes. The limiting behavior of the optimal control and the performance index is investigated. It is shown that the optimal control can be approximated by a near optimal control which is obtained as a combination of a slow control and a fast control computed in separate time scales.
Published in:
Automatic Control, IEEE Transactions on
(Volume:22
,
Issue:
5
)
Date of Publication: Oct 1977
- Page(s):
- 815 - 821
- ISSN :
- 0018-9286
- Digital Object Identifier :
- 10.1109/TAC.1977.1101603
- Product Type:
- Journals & Magazines
- Date of Current Version :
- 06 January 2003
- Issue Date :
- Oct 1977
- Sponsored by :
- IEEE Control Systems Society
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