Stochastic optimal control of first-passage failure for coupled Duffing-van der Pol system under Gaussian white noise excitations. (English) Zbl 1142.93443

Summary: The stochastic averaging method of quasi-non-integrable-Hamiltonian systems is applied to Duffing-van der Pol system to obtain partially averaged Ito stochastic differential equations. On the basis of the stochastic dynamical programming principle and the partially averaged Ito equation, dynamical programming equations for the reliability function and the mean first-passage time of controlled system are established. Then a non-linear stochastic optimal control strategy for coupled Duffing-van der Pol system subject to Gaussian white noise excitation is taken for investigating feedback minimization of first-passage failure. By averaging the terms involving control forces and replacing control forces by the optimal ones, the fully averaged Ito equation is derived. Thus, the feedback minimization for first-passage failure of controlled system can be obtained by solving the final dynamical programming equations. Numerical results for first-passage reliability function and mean first-passage time of the controlled and uncontrolled systems are compared in illustrative figures to show effectiveness and efficiency of the proposed method.


93E20 Optimal stochastic control
49K45 Optimality conditions for problems involving randomness
Full Text: DOI


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