Monte Carlo TD()-methods for the optimal control of discrete-time Markovian jump linear systems
DOI10.1016/S0005-1098(01)00215-1zbMATH Open0991.93124OpenAlexW2179469667MaRDI QIDQ1596471FDOQ1596471
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
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optimal controlMonte Carlo simulationsMarkovian decision processesdiscrete-time Markovian jump linear systems\(TD(\lambda)\) algorithmsinfinite horizon linear regulator problem
Monte Carlo methods (65C05) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)
Cites Work
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- A convex programming approach to H2 control of discrete-time markovian jump linear systems
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- Discrete-time LQ-optimal control problems for infinite Markov jump parameter systems
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- Kronecker products and matrix calculus in system theory
- Feedback control of a class of linear discrete systems with jump parameters and quadratic cost criteria †
- LMI optimization for nonstandard Riccati equations arising in stochastic control
- Maximal and stabilizing hermitian solutions for discrete-time coupled algebraic Riccati equations
- Lyapunov iterations for optimal control of jump linear systems at steady state
- On the solution of discrete-time Markovian jump linear quadratic control problems
- Controllability, observability and discrete-time markovian jump linear quadratic control
- Almost sure and moments stability of jump linear systems
- Uncoupled Riccati iterations for the linear quadratic control problem of discrete-time Markov jump linear systems
Cited In (4)
- Monte Carlo methods via a dual approach for some discrete time stochastic control problems
- 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
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