Efficient algorithm for the optimal control of interconnected stochastic systems

The paper examines the computational requirements of the centralised solution of the optimal control problem for a linear invariant continuous time interconnected stochastic system. The number of major computer operations involved in the solution of this problem is shown to be significantly reduced when the system model is transformed to a canonical form and when the Riccati equation based algorithm is replaced by the Chandrasekhar equation based algorithm. A numerical example illustrating the results is also presented.