Globally Optimal State-Feedback LQG Control for Large-Scale Systems With Communication Delays and Correlated Subsystem Process Noises

This paper studies the optimal decentralized state-feedback control of large-scale systems. The large-scale system is composed of subsystems and defined over a connected digraph. One step time is required for information to travel across an edge in the graph. Under the above-mentioned setup, when subsystem process noises are uncorrelated, the explicit optimal state-feedback controller can be designed by independence decomposition based on information hierarchy graph. However, this decomposition method fails when the subsystem process noises are correlated. In this paper, we propose a new decomposition method for system state and control input, and split the optimal state-feedback control problem with correlated process noises into two subproblems that can be solved separately. The solution to the first subproblem can be obtained by solving a linear matrix equation. The second subproblem is solved by algebraic Ricatti equation.