On the continuous time-varying JLQ problem

DOI10.3166/ejc.10.264-271zbMath1293.49077OpenAlexW1978472132MaRDI QIDQ2511902

Adam Czornik, Andrzej Swierniak

Publication date: 7 August 2014

Published in: European Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3166/ejc.10.264-271

zbMATH Keywords

stabilizabilitydetectabilityjump linear systemsjump linear-quadratic (JLQ) problemoptimalizability

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Markov processes (60J99)

Cites Work

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• On a partially observable LQG problem for systems with Markovian jumping parameters
• Time-varying discrete linear systems: input-output operators; Riccati equations; disturbance attenuation
• On the discrete JLQ and JLQG problems.
• Quadratic Control for Linear Time-Varying Systems
• Controllability, stabilizability, and continuous-time Markovian jump linear quadratic control
• Optimal control for a class of noisy linear systems with markovian jumping parameters and quadratic cost
• Stochastic stability properties of jump linear systems
• Adaptive control of linear systems with Markov perturbations
• A note on an LQG regulator with Markovian switching and pathwise average cost
• Embedding adaptive JLQG into LQ martingale control with a completely observable stochastic control matrix

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