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

  • Zhi Guo FengEmail author
  • Kok Lay TeoEmail author
Chapter
Part of the Springer Optimization and Its Applications book series (SOIA, volume 39)

Summary

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.

Keywords

stochastic impulsive optimal parameter selection problem Poisson process time scaling transformation 

Notes

Acknowledgment

This project is supported by a research grant from the Australian Research Council and Chongqing Key Laboratory of Operations Research and System Engineering.

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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  1. 1.College of Mathematics and Computer ScienceChongqing Normal UniversityChongqingPeople’s Republic of China
  2. 2.Department of Mathematics and StatisticsCurtin University of TechnologyPerthAustralia

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