Stabilisation of hybrid stochastic differential equations by feedback control based on discrete-time observations of state and mode

Gongfei Song, Bo-Chao Zheng, Qi Luo, Xuerong Mao

Research output: Contribution to journalArticle

15 Citations (Scopus)

Abstract

Mao [10] recently initiated the study of the mean-square exponential stabilisation of continuous-time hybrid stochastic differential equations (SDEs) by the feedback controls based on the discrete-time observations of the state. However, the feedback controls still depend on the continuous-time observations of the mode. Of course this is perfectly fine if the mode of the system is obvious (i.e. fully observable at no cost). However, it could often be the case where the mode is not obvious and it costs to identify the current mode of the system. To reduce the control cost, it is reasonable we identify the mode at the discrete times when we make observations for the state. Hence the feedback control should be designed based on the discrete-time observations of
both state and mode
. The aim of this paper is to show how to design such a feedback control to stabilise a given hybrid SDE.
LanguageEnglish
Number of pages15
JournalControl Theory and Applications
Early online date1 Nov 2016
DOIs
Publication statusE-pub ahead of print - 1 Nov 2016

Fingerprint

Discrete Time Observations
Feedback Control
Feedback control
Stochastic Equations
Stabilization
Differential equations
Differential equation
Continuous Time
Costs
Exponential Stabilization
Mean Square

Keywords

  • stabilisation
  • feedback control
  • discrete-time observations
  • hybrid stochastic differential equations
  • Brownian motion

Cite this

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abstract = "Mao [10] recently initiated the study of the mean-square exponential stabilisation of continuous-time hybrid stochastic differential equations (SDEs) by the feedback controls based on the discrete-time observations of the state. However, the feedback controls still depend on the continuous-time observations of the mode. Of course this is perfectly fine if the mode of the system is obvious (i.e. fully observable at no cost). However, it could often be the case where the mode is not obvious and it costs to identify the current mode of the system. To reduce the control cost, it is reasonable we identify the mode at the discrete times when we make observations for the state. Hence the feedback control should be designed based on the discrete-time observations ofboth state and mode. The aim of this paper is to show how to design such a feedback control to stabilise a given hybrid SDE.",
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