Full Information H2 Control of Borel-Measurable Markov Jump Systems with Multiplicative Noises

This paper addresses an H2 optimal control problem for a class of discrete-time stochastic systems with Markov jump parameter and multiplicative noises. The involved Markov jump parameter is a uniform ergodic Markov chain taking values in a Borel-measurable set. In the presence of exogenous white noise disturbance, Gramian characterization is derived for the H2 norm, which quantifies the stationary variance of output response for the considered systems. Moreover, under the condition that full information of the system state is accessible to measurement, an H2 dynamic optimal control problem is shown to be solved by a zero-order stabilizing feedback controller, which can be represented in terms of the stabilizing solution to a set of coupled stochastic algebraic Riccati equations. Finally, an iterative algorithm is provided to get the approximate solution of the obtained Riccati equations, and a numerical example illustrates the effectiveness of the proposed algorithm.

SVD-Krylov based Sparsity-preserving Techniques for Riccati-based Feedback Stabilization of Unstable Power System Models

We propose an efficient sparsity-preserving reduced-order modelling approach for index-1 descriptor systems extracted from large-scale power system models through two-sided projection techniques. The projectors are configured by utilizing Gramian based singular value decomposition (SVD) and Krylov subspace-based reduced-order modelling. The left projector is attained from the observability Gramian of the system by the low-rank alternating direction implicit (LR-ADI) technique and the right projector is attained by the iterative rational Krylov algorithm (IRKA). The classical LR-ADI technique is not suitable for solving Riccati equations and it demands high computation time for convergence. Besides, in most of the cases, reduced-order models achieved by the basic IRKA are not stable and the Riccati equations connected to them have no finite solution. Moreover, the conventional LR-ADI and IRKA approach not preserves the sparse form of the index-1 descriptor systems, which is an essential requirement for feasible simulations. To overcome those drawbacks, the fitting of LR-ADI and IRKA based projectors from left and right sides, respectively, desired reduced-order systems attained. So that, finite solution of low-rank Riccati equations, and corresponding feedback matrix can be executed. Using the mechanism of inverse projection, the Riccati-based optimal feedback matrix can be computed to stabilize the unstable power system models. The proposed approach will maintain minimized ℌ2 -norm of the error system for reduced-order models of the target models.

Mean-field linear-quadratic stochastic differential games in an infinite horizon

This paper is concerned with two-person mean-field linear-quadratic non-zero sum stochastic differential games in an infinite horizon. Both open-loop and closed-loop Nash equilibria are introduced. Existence of an open-loop Nash equilibrium is characterized by the solvability of a system of mean-field forward-backward stochastic differential equations in an infinite horizon and the convexity of the cost functionals, and the closed-loop representation of an open-loop Nash equilibrium is given through the solution to a system of two coupled non-symmetric algebraic Riccati equations. The existence of a closed-loop Nash equilibrium is characterized by the solvability of a system of two coupled symmetric algebraic Riccati equations. Two-person mean-field linear-quadratic zero-sum stochastic differential games in an infinite time horizon are also considered. Both the existence of open-loop and closed-loop saddle points are characterized by the solvability of a system of two coupled generalized algebraic Riccati equations with static stabilizing solutions. Mean-field linear-quadratic stochastic optimal control problems in an infinite horizon are discussed as well, for which it is proved that the open-loop solvability and closed-loop solvability are equivalent.