Jump Lq-Optimal Control For Discrete-Time Markovian Systems With Stochastic Inputs

DOI10.1080/07362999808809565MaRDI QIDQ4215903zbMATH OpenOpenAlexFDO

Authors Oswaldo Luiz V. Costa, João B. R. do Val

Publication date 1 November 1998

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999808809565

zbMATH Keywords

discrete-time \(LQ\)-optimal controlmanufacturing systemMarkovian jump parametersstochastic inputs

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Model systems in control theory (93C99) Optimal stochastic control (93E20)

Review text

This paper deals with the discrete-time \(LQ\)-optimal control problem for the class of linear systems with Markovian jump parameters, taking values in a countably infinite set, and stochastic inputs. The authors obtained the formula of the optimal control law whose value at time \(k\) has a feedback term plus a term characterized by stochastic inputs and the Markovian jump parameters up to time \(k\). An application to the optimal control of a manufacturing system subject to random demand is presented.

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Cited in

(5)

• A computational study of optimal control of Markov jump systems
• Quadratic control with partial information for discrete-time jump systems with the Markov chain in a general Borel space
• Controllability, observability and discrete-time markovian jump linear quadratic control
• Optimal decision strategy for discrete-time Markovian jump linear systems
• \(H_{\infty}\) optimal output tracking control for Markov jump systems: a reinforcement learning-based approach

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