First-passage failure and optimal control of stochastic Rayleigh oscillator

Jiao Rui Li, Wei Xu

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

The first-passage failure and optimal control of stochastic Rayleigh oscillator are studied in this paper. An averaged Itô stochastic differential Equation of the stochastic system is reduced by using the stochastic averaging method. A backward Kolmogorov Equation governing the conditional reliability function of first passage failure is then established. The conditional reliability function and the conditional probability density are also obtained by solving the backward Kolmogorov Equation with boundary conditions. Finally, an optimal control law of this system is obtained.

Original languageEnglish
Pages (from-to)954-958
Number of pages5
JournalKongzhi Lilun Yu Yingyong/Control Theory and Applications
Volume24
Issue number6
StatePublished - Dec 2007

Keywords

  • First-passage failure
  • Rayleigh oscillator
  • Stochastic averaging method
  • Stochastic stabilization

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