DocumentCode
997726
Title
Approximation of Escape Time for Lagrangian Systems With Fast Noise
Author
Kovaleva, Agnessa ; Akulenko, Leonid
Author_Institution
Russian Acad. of Sci., Moscow
Volume
52
Issue
12
fYear
2007
Firstpage
2338
Lastpage
2341
Abstract
This note is concerned with the large deviations asymptotics estimate of the mean escape time for Lagrangian systems subjected to fast Gaussian noise. The solution to the Hamilton-Jacobi equation of the associated variational problem is derived as a sum of two terms dependent on kinetic and potential energy of the system, respectively. A closed-form solution for classes of linear and nonlinear systems is obtained. An application to a controlled pointing problem is discussed as an example.
Keywords
Gaussian noise; linear systems; nonlinear control systems; variational techniques; Hamilton-Jacobi equation; Lagrangian system; fast Gaussian noise; Additive noise; Closed-form solution; Colored noise; Control systems; Gaussian noise; Kinetic theory; Lagrangian functions; Nonlinear equations; Potential energy; Stochastic systems; Perturbation methods; stochastic systems;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.2007.910696
Filename
4395180
Link To Document