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OPTIMAL CONTROL OF STOCHASTIC LINEAR SYSTEM WITH DELAYED RELAY OUTPUT
P.-A. Bliman*, A.B. Piunovskiy**, and M. Sorine*
* INRIA, Frane,
** The University of Liverpool, England.
We describe random disturbances as a Poisson process. After several simplifications, we construct a Markov decision process. Its solution built with the help of the dynamic programming approach gives quasi-optimal control strategy to the initial problem. The auxiliary Markov decision process is of its own interest and can be applied to e.g. some reliability problems.
Keywords: proportional plus integral action; suboptimal control, Poisson process, dynamic programming, Markov decision processes
Session slot T-Th-E02: Control of Stochastic Systems/Area code 3d : Stochastic Systems
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