Pareto Optimal Strategy for Stochastic Weakly Coupled Large Scale Systems With State Dependent System Noise

This note is concerned with the decentralized infinite horizon stochastic Pareto-optimal static output feedback strategy for a class of weakly coupled systems with state-dependent noise. First, Pareto-optimal control problems are formulated using a static output feedback strategy. The necessary conditions are given by the cross-coupled stochastic algebraic Riccati-type equations (CSAREs) for proving the existence of the static output feedback strategy that minimizes the quadratic cost function. After determining the asymptotic structure of the solutions of the CSAREs, a new sequential numerical algorithm and Newton´s method for solving the CSAREs are described. The resulting numerical solution is used to develop the Pareto-optimal strategy. Finally, the efficiency of the proposed algorithm is demonstrated by solving a numerical example for a practical megawatt-frequency control problem.