Singular Perturbation Results for a Class of Stochastic Control Problems

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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Original languageEnglish
Pages (from-to)1071-1080
Journal / PublicationIEEE Transactions on Automatic Control
Volume26
Issue number5
Publication statusPublished - Oct 1981
Externally publishedYes

Abstract

Composite control originally proposed in a deterministic context is generalized to the problem with white-noise inputs. However, the approach used here is radically different from the deterministic approach. Presence of noise smoothes the system behavior and allows a more complete solution than in the deterministic case. Copyright © 1981 by The Institute of Electrical and Electronics Engineers, Inc.