Numerical solution for linear-quadratic control problems of Markov jump linear systems and weak detectability concept (Q700764): Difference between revisions
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Revision as of 06:32, 10 February 2024
scientific article
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| English | Numerical solution for linear-quadratic control problems of Markov jump linear systems and weak detectability concept |
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Numerical solution for linear-quadratic control problems of Markov jump linear systems and weak detectability concept (English)
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8 October 2002
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A quadratic control problem for weakly detectable continuous time Markov jump linear systems is considered. A method of solving the associated coupled algebraic Riccati equations, based on recursive solution of a set of uncoupled algebraic Riccati equations, is proposed. It is proved that the method converges if and only if the system is mean-square stabilizable. Numerical examples and comparisons illustrating the results are presented.
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numerical methods for stochastic systems
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detectability and observability of stochastic systems
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optimal control
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Markov jump linear systems
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coupled algebraic Riccati equations
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