Numerical solution for linear-quadratic control problems of Markov jump linear systems and weak detectability concept

DOI10.1023/A:1015412121001zbMath1026.93056MaRDI QIDQ700764

D. Kharzeev

Publication date: 8 October 2002

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

optimal controlMarkov jump linear systemscoupled algebraic Riccati equationsdetectability and observability of stochastic systemsnumerical methods for stochastic systems

Mathematics Subject Classification ID

Stabilization of systems by feedback (93D15) Optimal stochastic control (93E20) Stochastic stability in control theory (93E15)

Related Items (3)

On a Detectability Concept of Discrete-Time Infinite Markov Jump Linear Systems ⋮ An algorithm for solving a perturbed algebraic Riccati equation ⋮ Average Reachability of Continuous-time Markov Jump Linear Systems and the Linear Minimum Mean Square Estimator

Cites Work

• Continuous-time state-feedback \(H_2\)-control of Markovian jump linear systems via convex analysis
• Monotonicity of algebraic Lyapunov iterations for optimal control of jump parameter linear systems
• Solutions for the linear-quadratic control problem of Markov jump linear systems
• Controllability, stabilizability, and continuous-time Markovian jump linear quadratic control
• Solution and asymptotic behavior of coupled Riccati equations in jump linear systems
• On the Observability and Detectability of Continuous-Time Markov Jump Linear Systems
• Lyapunov iterations for optimal control of jump linear systems at steady state
• Discrete-time LQ-optimal control problems for infinite Markov jump parameter systems
• LMI optimization for nonstandard Riccati equations arising in stochastic control
• On the detectability and observability of discrete-time Markov jump linear systems

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