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Stochastic Control of Linear Singularly Perturbed Systems.

机译:线性奇异摄动系统的随机控制。

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This paper applies singular perturbation theory to the stochastic control for the Linear-Quadratic-Gaussian (L-Q-G) problem for systems with fast and slow modes. The limiting behavior of the optimal control and the performance index is investigated. It is shown that the optimal control can be approximated by a near optimal control which is obtained as a combination of a slow control and a fast control computed in separate time scales. (Author)

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