Balanced realizations of regime-switching linear systems

DOI10.1007/S00498-007-0019-3MaRDI QIDQ998619zbMATH OpenOpenAlexFDO

Authors Yuanjin Liu, G. Yin, Q. Zhang, John Moore

Publication date 9 February 2009

Published in MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00498-007-0019-3

zbMATH Keywords

aggregationcontinuous-time Markov chaindecompositiontime-scale separationbalanced realization

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Stochastic stability in control theory (93E15) Realizations from input-output data (93B15)

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• Discrete-Time Markov Chains
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• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
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• On nearly optimal controls of hybrid LQG problems
• Optimization and dynamical systems
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• Regime Switching Stochastic Approximation Algorithms with Application to Adaptive Discrete Stochastic Optimization
• Robust jump linear quadratic control: A mode stabilizing solution
• Toward time-varying balanced realization via Riccati equations
• Weak Convergence of Hybrid Filtering Problems Involving Nearly Completely Decomposable Hidden Markov Chains

Cited in

(3)

• Balanced Realizations for Linear Systems: A Variational Approach
• Balanced realization algorithm for scalar continuous-time systems having simple poles
• Realization of multi-input/multi-output switched linear systems from Markov parameters

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