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arXiv 2007.11649eess.SYcs.SYmath.OC
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线性随机Hamilton系统的互联均方最优控制

Mean Square Optimal Control by Interconnection for Linear Stochastic Hamiltonian Systems

Igor G. Vladimirov, Ian R. Petersen

摘要:

本文研究了受随机外力作用的线性随机Hamilton系统。它们的动力学模型的线性随机微分方程,参数化的刚度,质量,阻尼和耦合矩阵。一类物理耦合的讨论,这样的系统使用惯性,弹簧和阻尼器。我们考虑一个问题,最小化一个稳态的二次成本泛函的耦合参数的互连两个LSH系统,其中之一起着模拟控制器的作用。对于这种均方最优控制的互连设置,我们概述了一阶的最优性的必要条件,采用变分方法以前开发的约束线性二次高斯控制问题。

英文摘要:

This paper is concerned with linear stochastic Hamiltonian (LSH) systems subject to random external forces. Their dynamics are modelled by linear stochastic differential equations, parameterised by stiffness, mass, damping and coupling matrices. A class of physical couplings is discussed for such systems using inerters, springs and dampers. We consider a problem of minimising a steady-state quadratic cost functional over the coupling parameters for the interconnection of two LSH systems, one of which plays the role of an analog controller. For this mean square optimal control-by-interconnection setting, we outline first-order necessary conditions of optimality which employ variational methods developed previously for constrained linear quadratic Gaussian control problems.

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