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Optimal stabilizing controllers for linear discrete‐time stochastic systems
Author(s) -
Feng JunE,
Lam James,
Xu Shengyuan,
Shu Zhan
Publication year - 2007
Publication title -
optimal control applications and methods
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.458
H-Index - 44
eISSN - 1099-1514
pISSN - 0143-2087
DOI - 10.1002/oca.833
Subject(s) - spectral radius , discrete time and continuous time , control theory (sociology) , computer science , state (computer science) , linear system , mathematical optimization , mathematics , control (management) , eigenvalues and eigenvectors , algorithm , mathematical analysis , statistics , quantum mechanics , artificial intelligence , physics
The relationship between the spectral radius and the decay rate for discrete stochastic systems is investigated. Several equivalent conditions are obtained, which guarantee a specified decay rate of the closed‐loop systems. Based on the relationship, this paper provides a design method for state feedback controllers, which ensure that the closed‐loop systems converge as fast as possible. Finally, a numerical example is used to illustrate the developed method. Copyright © 2007 John Wiley & Sons, Ltd.