On the Two-Level Control Method for Large-Scale Linear Stochastic Systems

Abstract

The purpose of this paper is to establish a possible method of control for a class of largescale linear stochastic systems by applying the hierarchical system theory.
First, introducing the interconnection variables, the overall system is decomposed into several subsystems and then a two-level control scheme is formulated. Secondly, three theorems are given to concretely establish the two-level control scheme; the first one verifies the existence of optimal control for the subsystem in the infimal level and the other two verify the existence and uniqueness of optimal coordination variable in the supremal level. Finally, to help understanding of the proposed method, an illustrative example is presented.