A Separation Principle for the Continuous-Time LQ-Problem With Markovian Jump Parameters

DOI10.1109/TAC.2010.2048056MaRDI QIDQ4979022zbMATH OpenFDO

Authors Marcelo Dutra Fragoso, Oswaldo Luiz V. Costa

Publication date 25 August 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.2010.2048056

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of continuous-time Markov processes on discrete state spaces (60J28) Optimal stochastic control (93E20)

Cited in

(13)

• A novel iterative algorithm for solving coupled Riccati equations
• Quadratic control with partial information for discrete-time jump systems with the Markov chain in a general Borel space
• Decision-control mechanism for Markovian jump linear systems with Gaussian noise
• Average reachability of continuous-time Markov jump linear systems and the linear minimum mean square estimator
• Adaptive control of stochastic nonlinear systems with Markovian switching
• H_∞ control of continuous-time Markov jump linear systems with detector-based mode information
• An iterative algorithm for coupled Riccati equations in continuous-time Markovian jump linear systems
• Dynamic output feedback control for continuous-time Markov jump linear systems with hidden Markov models
• A constructive method to static output stabilisation of Markov jump systems
• Infinite horizon linear quadratic stochastic Nash differential games of Markov jump linear systems with its application
• On the control of Markov jump linear systems with no mode observation: application to a DC Motor device
• Linear quadratic nonzero-sum stochastic differential game of a partially observed Markov jump linear systems
• Separation principle for stochastic control of continuous-time Markov jump linear systems under partial observations

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