### Abstract

Language | English |
---|---|

Pages | 1619-1624 |

Number of pages | 6 |

Journal | IEEE Transactions on Automatic Control |

Volume | 61 |

Issue number | 6 |

DOIs | |

Publication status | Published - 1 Jun 2016 |

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### Keywords

- Brownian motion
- stochastic differential delay equations
- difference equations
- stochastic stabilization
- discrete-time feedback control

### Cite this

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*IEEE Transactions on Automatic Control*, vol. 61, no. 6, pp. 1619-1624. https://doi.org/10.1109/TAC.2015.2471696

**Almost sure exponential stabilization by discrete-time stochastic feedback control.** / Mao, Xuerong.

Research output: Contribution to journal › Article

TY - JOUR

T1 - Almost sure exponential stabilization by discrete-time stochastic feedback control

AU - Mao, Xuerong

N1 - (c) 2015 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other users, including reprinting/ republishing this material for advertising or promotional purposes, creating new collective works for resale or redistribution to servers or lists, or reuse of any copyrighted components of this work in other works.

PY - 2016/6/1

Y1 - 2016/6/1

N2 - Given an unstable linear scalar differential equation x˙ (t) = αx(t) (α > 0), we will show that the discrete-time stochastic feedback control σx([t/τ ]τ )dB(t) can stabilize it. That is, we will show that the stochastically controlled system dx(t) = αx(t)dt +σx([t/τ ]τ )dB(t) is almost surely exponentially stable when σ2 > 2α and τ > 0 is sufficiently small, where B(t) is a Brownian motion and [t/τ ] is the integer part of t/τ . We will also discuss the nonlinear stabilization problem by a discrete- time stochastic feedback control. The reason why we consider the discrete-time stochastic feedback control is because that the state of the given system is in fact observed only at discrete times, say 0, τ, 2τ, • • • , for example, where τ > 0 is the duration between two consecutive observations. Accordingly, the stochastic feedback control should be designed based on these discrete-time observations, namely the stochastic feedback control should be of the form σx([t/τ ]τ )dB(t). From the point of control cost, it is cheaper if one only needs to observe the state less frequently. It is therefore useful to give a bound on τ from below as larger as better.

AB - Given an unstable linear scalar differential equation x˙ (t) = αx(t) (α > 0), we will show that the discrete-time stochastic feedback control σx([t/τ ]τ )dB(t) can stabilize it. That is, we will show that the stochastically controlled system dx(t) = αx(t)dt +σx([t/τ ]τ )dB(t) is almost surely exponentially stable when σ2 > 2α and τ > 0 is sufficiently small, where B(t) is a Brownian motion and [t/τ ] is the integer part of t/τ . We will also discuss the nonlinear stabilization problem by a discrete- time stochastic feedback control. The reason why we consider the discrete-time stochastic feedback control is because that the state of the given system is in fact observed only at discrete times, say 0, τ, 2τ, • • • , for example, where τ > 0 is the duration between two consecutive observations. Accordingly, the stochastic feedback control should be designed based on these discrete-time observations, namely the stochastic feedback control should be of the form σx([t/τ ]τ )dB(t). From the point of control cost, it is cheaper if one only needs to observe the state less frequently. It is therefore useful to give a bound on τ from below as larger as better.

KW - Brownian motion

KW - stochastic differential delay equations

KW - difference equations

KW - stochastic stabilization

KW - discrete-time feedback control

UR - http://ieeexplore.ieee.org/xpl/RecentIssue.jsp?punumber=9

U2 - 10.1109/TAC.2015.2471696

DO - 10.1109/TAC.2015.2471696

M3 - Article

VL - 61

SP - 1619

EP - 1624

JO - IEEE Transactions on Automatic Control

T2 - IEEE Transactions on Automatic Control

JF - IEEE Transactions on Automatic Control

SN - 0018-9286

IS - 6

ER -