Linear quadratic optimal control for a class of continuous-time nonhomogeneous Markovian jump linear systems in infinite time horizon

DOI10.1016/j.jfranklin.2020.07.038zbMath1448.93343OpenAlexW3045978169MaRDI QIDQ2005393

Ai-guo Wu, Hui-Jie Sun, Yu-Zhu Bai

Publication date: 7 October 2020

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfranklin.2020.07.038

zbMATH Keywords

continuous-time Itô stochastic Markovian jump linear systemsinfinite time horizon linear quadratic optimal control

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (3)

Stabilization of two kinds of nonhomogeneous Markovian jump systems via sliding mode control ⋮ Robust stability and robust H2 performance of discrete‐time Markovian jump linear systems with uncertain transition probabilities ⋮ LQ control of forward and backward stochastic difference system

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