A computational method for a class of jump linear quadratic systems

DOI10.1017/S0334270000007463MaRDI QIDQ4858170zbMATH OpenFDO

Authors

Publication date 12 December 1995

Published in The Journal of the Australian Mathematical Society. Series B. Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0334270000007463

zbMATH Keywords

nonlinear programmingMarkov jump processesoptimal controlHamiltonianperformance indexoptimal feedback control lawstochastic optimal control problemsjump linear quadratic system

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Feedback control (93B52) Optimal stochastic control (93E20)

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Cited in

(3)

• A gradient flow approach for computing jump linear quadratic optimal feedback gains
• A computational study of optimal control of Markov jump systems
• scientific article; zbMATH DE number 3963709 (Why is no real title available?)

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