Feedback Stabilization for Sampled Linear Systems with Control-linear Noise

Abstract

In this paper, we consider linear stochastic systems with control-linear noise and periodically sampled measurements. We address the problem of feedback stabilization in the mean-square sense. The main contribution of the paper is to provide a necessary and sufficient condition for feedback stabilization. In particular, we relate feedback stabilizability of the stochastic system to the existence of a fixed point of a Riccati-type algebraic equation and, further, to the existence of a solution to an infinite-horizon optimal control problem.