Optimal Feedback Control for Stochastic Impulsive Linear Systems Subject to Poisson Processes
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 imp...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Book Chapter |
| Published: |
Springer
2010
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/45699 |
| _version_ | 1848757357899677696 |
|---|---|
| author | Feng, Zhiguo Teo, Kok Lay |
| author2 | Altannar Chinchuluun |
| author_facet | Altannar Chinchuluun Feng, Zhiguo Teo, Kok Lay |
| author_sort | Feng, Zhiguo |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T09:26:49Z |
| format | Book Chapter |
| id | curtin-20.500.11937-45699 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:26:49Z |
| publishDate | 2010 |
| publisher | Springer |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-456992023-01-18T08:46:45Z Optimal Feedback Control for Stochastic Impulsive Linear Systems Subject to Poisson Processes Feng, Zhiguo Teo, Kok Lay Altannar Chinchuluun Panos M. Pardalos Rentsen Enkhbat stochastic impulsive optimal parameter selection problem - Poisson process - time scaling transformation 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. 2010 Book Chapter http://hdl.handle.net/20.500.11937/45699 Springer restricted |
| spellingShingle | stochastic impulsive optimal parameter selection problem - Poisson process - time scaling transformation Feng, Zhiguo Teo, Kok Lay Optimal Feedback Control for Stochastic Impulsive Linear Systems Subject to Poisson Processes |
| title | Optimal Feedback Control for Stochastic Impulsive Linear Systems Subject to Poisson Processes |
| title_full | Optimal Feedback Control for Stochastic Impulsive Linear Systems Subject to Poisson Processes |
| title_fullStr | Optimal Feedback Control for Stochastic Impulsive Linear Systems Subject to Poisson Processes |
| title_full_unstemmed | Optimal Feedback Control for Stochastic Impulsive Linear Systems Subject to Poisson Processes |
| title_short | Optimal Feedback Control for Stochastic Impulsive Linear Systems Subject to Poisson Processes |
| title_sort | optimal feedback control for stochastic impulsive linear systems subject to poisson processes |
| topic | stochastic impulsive optimal parameter selection problem - Poisson process - time scaling transformation |
| url | http://hdl.handle.net/20.500.11937/45699 |