OPTIMAL CONTROL of a LINEAR SYSTEM SUBJECTED to EXTERNAL SINUSOIDAL and WHITE NOISE EXCITATIONS

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. Copyright ©2002 IFAC