Control Under Stochastic Multiplicative Uncertainties: Part I, Fundamental Conditions of Stabilizability

In this two-part paper we study stabilization and optimal control of linear time-invariant systems with stochastic multiplicative uncertainties. We consider structured multiplicative perturbations, which, unlike in robust control theory, consist of static, zero-mean stochastic processes, and we assess the stability and performance of such systems using mean-square measures. While Part 2 of this paper tackles and solves optimal control problems under the mean-square criterion, Part 1 is devoted to the stabilizability problem. We develop fundamental conditions of mean-square stabilizability which ensure that an open-loop unstable system can be stabilized by output feedback in the mean-square sense. For single-input single-output systems, a general, explicit stabilizability condition is obtained. This condition, both necessary and sufficient, provides a fundamental limit imposed by the system's unstable poles, nonminimum phase zeros and time delay. For multi-input multi-output systems, we provide a complete, computationally efficient solution for minimum phase systems possibly containing time delays, in the form of a generalized eigenvalue problem readily solvable by means of linear matrix inequality optimization. Limiting cases and nonminimum phase plants are analyzed in depth for conceptual insights, revealing, among other things, how the directions of unstable poles and nonminimum phase zeros may affect mean-square stabilizability in MIMO systems. Other than their independent interest, stochastic multiplicative uncertainties have found utilities in modeling networked control systems pertaining to, e.g., packet drops, network delays, and fading. Our results herein lend solutions applicable to networked control problems addressing these issues.

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