Universal Feedback Controllers and Inverse Optimality for Nonlinear Stochastic Systems

Abstract

Abstract In this paper, we develop a constructive finite time stabilizing feedback control law for stochastic dynamical systems driven by Wiener processes based on the existence of a stochastic control Lyapunov function. In addition, we present necessary and sufficient conditions for continuity of such controllers. Moreover, using stochastic control Lyapunov functions, we construct a universal inverse optimal feedback control law for nonlinear stochastic dynamical systems that possess guaranteed gain and sector margins. An illustrative numerical example involving the control of thermoacoustic instabilities in combustion processes is presented to demonstrate the efficacy of the proposed framework.