Title :
Approximation of Escape Time for Lagrangian Systems With Fast Noise
Author :
Kovaleva, Agnessa ; Akulenko, Leonid
Author_Institution :
Russian Acad. of Sci., Moscow
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;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.2007.910696
