Optimal control of a linear system subjected to external sinusoidal and white noise excitation
Daniil Iourtchenko
The paper discusses a
problem of stochastic optimal control of a linear
single-degree-of-freedom system subjected to external sinusoidal
and white noise excitations. An external, bounded in magnitude
control force is introduced into the system to reduce mean system
response energy. The dynamic programming approach is used to
derive the corresponding Hamilton-Jacobi-Bellman equation. Hybrid
solution method is used to derive a solution to this equation,
thereby found an optimal control policy.