Title :
A stabilization algorithm for linear controlled SDE´s
Author :
Campillo, Fabien ; Traore, A.
Author_Institution :
Inst. Nat. de Recherche en Inf. et Autom., Sophia-Antipolis, France
Abstract :
We consider a stochastic differential equation with linear feedback control with a one-dimensional feedback gain parameter. The problem is to find an online algorithm which adjust this gain in order to stabilize the system. We propose a stochastic gradient method which minimize the Lyapunov exponent associated with the solution of this stochastic differential equation. We present some simulation tests
Keywords :
Lyapunov methods; conjugate gradient methods; differential equations; feedback; minimisation; stability; stochastic systems; 1D feedback gain parameter; Lyapunov exponent minimization; linear controlled SDE; linear feedback control; online algorithm; stabilization algorithm; stochastic differential equation; stochastic gradient method; Bismuth; Computational modeling; Differential equations; Feedback control; Gradient methods; Integral equations; Linear feedback control systems; Stability; Stochastic processes; Testing;
Conference_Titel :
Decision and Control, 1995., Proceedings of the 34th IEEE Conference on
Conference_Location :
New Orleans, LA
Print_ISBN :
0-7803-2685-7
DOI :
10.1109/CDC.1995.480226
