Optimal Parto Control of Stochastic System with Multiplicative Noises and Markovian Jumping

作     者：KONG Shulan1,ZHANG Huanshui2 1.School of Mathematics Science,Qufu Normal University,Qufu 273165,P.R.China2.School of Control Science and Engineering,Shandong University,Jinan 250061,P.R.China 

会议名称：《第二十九届中国控制会议》

会议日期：2010年

学科分类：02[经济学] 07[理学] 08[工学] 070103[理学-概率论与数理统计] 071102[理学-系统分析与集成] 0711[理学-系统科学] 0202[经济学-应用经济学] 020208[经济学-统计学] 0714[理学-统计学（可授理学、经济学学位）] 081101[工学-控制理论与控制工程] 0811[工学-控制科学与工程] 0701[理学-数学] 081103[工学-系统工程] 

基　　金：supported by Shandong Province Outstanding Youth Foundation under Grant(2007BS01014) Nature Science Foundation under Grant(ZR2009AQ005) 

关 键 词：Parto Solution Stochastic System Markovian Jumping 

摘      要：In this paper,a Parto optimization problem of N players in stochastic system is copied *** optimal Parto solution of the stochastic system with multiplicative white noises and Markovian jumping is presented in infinite time horizon.A complete analytical optimal controller is obtained by using the generalized Lyapunov equation approach and solving a generalized algebraic Riccati *** is proved that the controller is a stabilizable feedback control and the solution of the generalized algebraic Riccati equation corresponding to the feedback gain of the optimal control is minimal.