An approximate Pareto strategy design for weakly coupled large scale discrete-time systems with state- and control-dependent noise

Abstract

In this paper, we discuss a Pareto strategy implemented via local state feedback for a class of weakly coupled large-scale linear time-invariant (LTI) discrete-time stochastic systems with state- and control-dependent noise. The asymptotic structure along with the uniqueness and positive semidefiniteness of the solutions of cross-coupled stochastic algebraic Riccati equations (CSAREs) is newly established via the Newton-Kantorovich theorem. The main contribution of this study is the proposal of a parameter-independent local state feedback Pareto strategy. Finally, in order to demonstrate the effectiveness of the proposed design method, a numerical example is provided for practical aircraft control problems.