Nonlinear Stochastic Optimal Control of MDOF Partially Observable Linear Systems Excited by Combined Harmonic and Wide-Band Noises

In this paper, nonlinear stochastic optimal control of multi-degree-of-freedom (MDOF) partially observable linear systems subjected to combined harmonic and wide-band random excitations is investigated. Based on the separation principle, the control problem of a partially observable system is converted into a completely observable one. The dynamic programming equation for the completely observable control problem is then set up based on the stochastic averaging method and stochastic dynamic programming principle, from which the nonlinear optimal control law is derived. To illustrate the feasibility and efficiency of the proposed control strategy, the responses of the uncontrolled and optimal controlled systems are respectively obtained by solving the associated Fokker–Planck–Kolmogorov (FPK) equation. Numerical results show the proposed control strategy can dramatically reduce the response of stochastic systems subjected to both harmonic and wide-band random excitations.