SIAM Journal on Control and Optimization, Vol.42, No.5, 1834-1853, 2003
Noise assisted high-gain stabilization: Almost surely or in second mean
For a linear control system with multiplicative white noise, we develop (asymptotic) formulas for the dependence of almost sure and second mean exponential growth rates on a high-gain parameter k. We show that if the diffusion matrix is skew-symmetric so that the noise enters in a purely skew-symmetric way, then the function g, where g(p)/p denotes the exponential growth rate of the pth mean, converges to a straight line, uniformly for p is an element of [0, 2], as k --> infinity. We use these formulas to show that the feedback control system in Stratonovich form is high-gain stabilizable even if the zero-dynamics are unstable, provided that the noise is strong enough. This contrasts with the noise free case, where we need the zero-dynamics to be exponentially stable. We then consider a class of systems where the diffusion matrix is not skew-symmetric and show that the almost sure and pth mean growth rates have different limiting behavior as k --> infinity.
Keywords:Lyapunov exponents;high-gain feedback;moment exponents;second mean exponents;Furstenberg-Khasminskii formula