A Theory of Controller Design for Stochastic Systems

A study conducted by Yuji Ito et al. in collaboration with Kyoto University was published in the Automatica.

When controlling or guiding stochastic dynamical systems, such as networked systems with random communication delays and traffic flows consisting of many vehicles, controller design taking into account such randomness is promising. However, it is difficult to treat the stochastic systems mathematically, which limits the types of controllers to simple one.

To overcome this difficulty, this study establishes “weighted stochastic Riccati Equations^*” theory for designing various controllers of stochastic systems. For example, this theory can design a risk-sensitive controller that suppresses the risk of performance degradation caused by system randomness. This theoretical concept serves as a fundamental theory for solving problems caused by randomness in complex systems, including the aforementioned examples.

^*Weighted stochastic Riccati equations are formulated as weighted expectations of Riccati equations. By appropriately designing the weights and solving the corresponding weighted stochastic Riccati equations, we obtain various types of controllers of stochastic systems.

【Related Article】
A Theory of Controller Design for Distributionally Uncertain Systems

Title: Weighted Stochastic Riccati Equations for Generalization of Linear Optimal Control
Authors: Ito, Y., Fujimoto, K., Tadokoro, Y.
Journal Name: Automatica
Published: September 17, 2024
https://doi.org/10.1016/j.automatica.2024.111901