Singularly perturbed forward-backward stochastic differential equations: application to the optimal control of bilinear systems

We study linear-quadratic stochastic optimal control problems with bilinear state dependence for which the underlying stochastic differential equation (SDE) consists of slow and fast degrees of freedom. We show that, in the same way in which the underlying dynamics can be well approximated by a reduced order effective dynamics in the time scale limit (using classical homogenziation results), the associated optimal expected cost converges in the time scale limit to an effective optimal cost. This entails that we can well approximate the stochastic optimal control for the whole system by the reduced order stochastic optimal control, which is clearly easier to solve because of lower dimensionality. The approach uses an equivalent formulation of the Hamilton-Jacobi-Bellman (HJB) equation, in terms of forward-backward SDEs (FBSDEs). We exploit the efficient solvability of FBSDEs via a least squares Monte Carlo algorithm and show its applicability by a suitable numerical example

A Numerical Slow Manifold Approach to Model Reduction for Optimal Control of Multiple Time Scale ODE

Time scale separation is a natural property of many control systems that can be ex- ploited, theoretically and numerically. We present a numerical scheme to solve optimal control problems with considerable time scale separation that is based on a model reduction approach that does not need the system to be explicitly stated in singularly perturbed form. We present examples that highlight the advantages and disadvantages of the method

Finite Frequency H

This paper investigates the problem of finite frequency (FF) H∞ filtering for time-delayed singularly perturbed systems. Our attention is focused on designing filters guaranteeing asymptotic stability and FF H∞ disturbance attenuation level of the filtering error system. By the generalized Kalman-Yakubovich-Popov (KYP) lemma, the existence conditions of FF H∞ filters are obtained in terms of solving an optimization problem, which is delay-independent. The main contribution of this paper is that systematic methods are proposed for designing H∞ filters for delayed singularly perturbed systems