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    Optimal Feedback Control for Stochastic Impulsive Linear Systems Subject to Poisson Processes

    Access Status
    Fulltext not available
    Authors
    Feng, Zhiguo
    Teo, Kok Lay
    Date
    2010
    Type
    Book Chapter
    
    Metadata
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    Citation
    Feng, Z.G. and Teo, K.L. 2010. Optimal Feedback Control for Stochastic Impulsive Linear Systems Subject to Poisson Processes, in Chinchuluun, A. and Pardalos, P.M. and Enkhbat, R. (ed), Optimization and Optimal Control: Theory and applications, pp. 241-258. USA: Springer.
    Source Title
    Optimization and Optimal Control: theory and applications
    ISBN
    978-0-387-89495-9
    School
    Department of Mathematics and Statistics
    URI
    http://hdl.handle.net/20.500.11937/45699
    Collection
    • Curtin Research Publications
    Abstract

    This chapter considers a class of optimal feedback control problems, where its dynamical system is described by stochastic linear systems subject to Poisson processes and with state jumps. We show that this stochastic impulsive optimal parameter selection problem is equivalent to a deterministic impulsive optimal parameter selection problem, where the times at which the jumps occurred as well as their heights are decision variables. Then, by introducing a time scaling transform, we show that this deterministic impulsive optimal parameter selection problem is transformed into an equivalent deterministic impulsive optimal parameter selection problem with fixed jump times. For the numerical computation, we derive the gradient formulae of the cost function and the constraint functions. On this basis, an efficient computational method is developed and an example is solved for illustration.

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