Mean Square Optimal Control by Interconnection for Linear Stochastic Hamiltonian Systems

Abstract: This paper is concerned with linear stochastic Hamiltonian (LSH) systems subject to random external forces. Their dynamics are modelled by linear stochastic differential equations, parameterised by stiffness, mass, damping and coupling matrices. A class of physical couplings is discussed for such systems using inerters, springs and dampers. We consider a problem of minimising a steady-state quadratic cost functional over the coupling parameters for the interconnection of two LSH systems, one of which plays the role of an analog controller. For this mean square optimal control-by-interconnection setting, we outline first-order necessary conditions of optimality which employ variational methods developed previously for constrained linear quadratic Gaussian control problems.