We study the limit behavior of certain classes of dependent random sequences (processes) which do not possess the Markov property. Assuming these processes depend on a control parameter we show that the optimization of the control can be reduced to a problem of nonlinear optimization. Under certain hypotheses we establish the stability of such optimization problems.
Asymptotic stability of the zero solution for stochastic jump parameter systems of differential equations given by , where is a finite-valued Markov process and w(t) is a standard Wiener process, is considered. It is proved that the existence of a unique positive solution of the system of coupled Lyapunov matrix equations derived in the paper is a necessary asymptotic stability condition.
In this paper we study linear conservative systems of finite dimension coupled with an infinite dimensional system of diffusive type. Computing the time-derivative of an appropriate energy functional along the solutions helps us to prove the well-posedness of the system and a stability property. But in order to prove asymptotic stability we need to apply a sufficient spectral condition. We also illustrate the sharpness of this condition by exhibiting some systems for which we do not have the asymptotic...
In this paper we study linear conservative systems of finite dimension coupled with an infinite dimensional system of diffusive type. Computing the time-derivative of an appropriate energy functional along the solutions helps us to prove the well-posedness of the system and a stability property. But in order to prove asymptotic stability we need to apply a sufficient spectral condition. We also illustrate the sharpness of this condition by exhibiting some systems for which we do not have the asymptotic property. ...
This work is concerned with stabilization of a wave equation by a linear boundary term combining frictional and memory damping on part of the boundary. We prove that the energy decays to zero exponentially if the kernel decays exponentially at infinity. We consider a slightly different boundary condition than the one used by M. Aassila et al. [Calc. Var. 15, 2002]. This allows us to avoid the assumption that the part of the boundary where the feedback is active is strictly star-shaped. The result...
In this paper, the filtering problem is revisited in the basic Gaussian homogeneous linear system driven by fractional Brownian motions. We exhibit a simple approximate filter which is asymptotically optimal in the sense that, when the observation time tends to infinity, the variance of the corresponding filtering error converges to the same limit as for the exact optimal filter.
We describe precisely, under generic conditions, the contact of the accessibility set at time with an abnormal direction, first for a single-input affine control system with constraint on the control, and then as an application for a sub-riemannian system of rank 2. As a consequence we obtain in sub-riemannian geometry a new splitting-up of the sphere near an abnormal minimizer into two sectors, bordered by the first Pontryagin’s cone along , called the -sector and the -sector. Moreover we...
We describe precisely, under generic conditions, the contact of the accessibility set at time T with an abnormal direction, first for a single-input affine control system with constraint on the control, and then as an application for a sub-Riemannian system of rank 2. As a consequence we obtain in sub-Riemannian geometry a new splitting-up of the sphere near an abnormal minimizer γ into two sectors, bordered by the first Pontryagin's cone along γ, called the L∞-sector and the L2-sector. Moreover...
We study the asymptotical behaviour of expected utility from terminal wealth on a market in which asset prices depend on economic factors that are unobserved or observed with delay.
The problem of state estimation of a continuous-time stochastic process using an Asynchronous Distributed multi-sensor Estimation (ADE) system is considered. The state of a process of interest is estimated by a group of local estimators constituting the proposed ADE system. Each estimator is based, e.g., on a Kalman filter and performs single sensor filtration and fusion of its local results with the results from other/remote processors to compute possibly the best state estimates. In performing...
This paper studies the leader-following consensus problem of second-order multi-agent systems with directed topologies. By employing the asynchronous sampled-data protocols, sufficient conditions for leader-following consensus with both constant velocity leader and variable velocity leader are derived. Leader-following quasi-consensus can be achieved in multi-agent systems when all the agents sample the information asynchronously. Numerical simulations are provided to verify the theoretical results....
A nonlinear discrete-time control system forced by stochastic disturbances is considered. We study the problem of synthesis of the regulator which stabilizes an equilibrium of the deterministic system and provides required scattering of random states near this equilibrium for the corresponding stochastic system. Our approach is based on the stochastic sensitivity functions technique. The necessary and important part of the examined control problem is an analysis of attainability. For 2D systems,...
In this paper, an angular tracking control based on adaptive super twisting algorithm (ASTA) for a Twin Rotor System is presented. With the aim of implementing the ASTA control and taking into consideration the difficulties of measuring some of its states, a Nonlinear Extended State Observer (NESO) is employed to estimate the vector state and furthermore unmeasured dynamics. This scheme increases robustness against unmodeled dynamics and external disturbance, reducing modeling difficulties due to...