Monte Carlo TD()-methods for the optimal control of discrete-time Markovian jump linear systems

DOI10.1016/S0005-1098(01)00215-1MaRDI QIDQ1596471zbMATHOpenAlexFDO

Authors Julio C. C. Aya, Oswaldo Luiz V. Costa

Publication date 1 September 2002

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0005-1098(01)00215-1

zbMATH Keywords

optimal controlMonte Carlo simulationsMarkovian decision processesdiscrete-time Markovian jump linear systems\(TD(\lambda)\) algorithmsinfinite horizon linear regulator problem

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

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Cites work

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• scientific article; zbMATH DE number 1015080 (Why is no real title available?)
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• Feedback control of a class of linear discrete systems with jump parameters and quadratic cost criteria †
• Kronecker products and matrix calculus in system theory
• LMI optimization for nonstandard Riccati equations arising in stochastic control
• Lyapunov iterations for optimal control of jump linear systems at steady state
• Maximal and stabilizing hermitian solutions for discrete-time coupled algebraic Riccati equations
• On the solution of discrete-time Markovian jump linear quadratic control problems
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Cited in

(4)

• Successive over relaxation for model-free LQR control of discrete-time Markov jump systems
• \(H_{\infty}\) optimal output tracking control for Markov jump systems: a reinforcement learning-based approach
• Composite anti-disturbance control for Markovian jump nonlinear systems via disturbance observer
• Monte Carlo methods via a dual approach for some discrete time stochastic control problems

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