Review of the Latest Progress in Controllability of Stochastic Linear Systems and Stochastic GE-Evolution Operator

According to the spatial dimension, equation type, and time sequence, the latest progress in controllability of stochastic linear systems and some unsolved problems are introduced. Firstly, the exact controllability of stochastic linear systems in finite dimensional spaces is discussed. Secondly, the exact, exact null, approximate, approximate null, and partial approximate controllability of stochastic linear systems in infinite dimensional spaces are considered. Thirdly, the exact, exact null and impulse controllability of stochastic singular linear systems in finite dimensional spaces are investigated. Fourthly, the exact and approximate controllability of stochastic singular linear systems in infinite dimensional spaces are studied. At last, the controllability and observability for a type of time-varying stochastic singular linear systems are studied by using stochastic GE-evolution operator in the sense of mild solution in Banach spaces, some necessary and sufficient conditions are obtained, the dual principle is proved to be true, an example is given to illustrate the validity of the theoretical results obtained in this part, and a problem to be solved is introduced. The main purpose of this paper is to facilitate readers to fully understand the latest research results concerning the controllability of stochastic linear systems and the problems that need to be further studied, and attract more scholars to engage in this research.

STATE-FEEDBACK CONTROL OF DISCRETE-TIME STOCHASTIC LINEAR SYSTEMS WITH MARKOVIAN SWITCHING

This paper is concerned with the stabilization problem via state-feedback control of discrete-time jumping systems with stochastic multiplicative noises. The jumping process of the system is driven by a discrete-time Markov chain with finite states and partially known transition probabilities. Sufficient conditions are established in terms of tractable linear matrix inequalities to design a mode-dependent stabilizing state-feedback controller. A numerical example is provided to validate the effectiveness of the obtained result.

Optimal control for controllable stochastic linear systems

This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of stochastic linear systems is studied. Then the optimal control is explicitly obtained by considering a parameterized unconstrained backward LQ problem and an optimal parameter selection problem. A notable feature of our results is that, instead of solving an equation involving derivatives with respect to the parameter, the optimal parameter is characterized by a matrix equation.