Stabilization and Optimal Control of an Interconnected $n + m$ Hetero-directional Hyperbolic PDE-SDE System

Abstract: In this paper, we design a controller for an interconnected system composed of a linear Stochastic Differential Equation (SDE) controlled through a linear hetero-directional hyperbolic Partial Differential Equation (PDE). Our objective is to steer the coupled system to a desired final state on average, while keeping the variance-in-time as small as possible, improving robustness to disturbances. By employing backstepping techniques, we decouple the original PDE, reformulating the system as an input delayed SDE with a stochastic drift. We first establish a controllability result, shading light on lower bounds for the variance. This shows that the system can never improve variance below strict structural limits. Under standard controllability conditions, we then design a controller that drives the mean of the states while keeping the variance bounded. Finally, we analyze the optimal control problem of variance minimization along the entire trajectory. Under additional controllability assumptions, we prove that the optimal control can achieve any variance level above the fundamental structural limit.