Optimal Stationary Control with State Control Dependent Noise

Abstract

The steady state optimal linear regulator with state and control dependent noise is analyzed in a manner similar to that developed by Wonham [1]. By state dependent noise we mean Gaussian white noise with coefficient linear in the state variable, and similarly for control dependent noise. Using a Lyapunov criterion for the existence of stationary probability distributions due to Zakai, it is possible to treat equations leading to diffusion processes with degenerate differential generators. It is found that if the noise is sufficiently small, then an optimal control exists. Further analysis, again using Lyapunov methods, yields conditions under which an optimal control exists no matter how large the noise is.