Robust, Optimal Predictive Control of Jump Markov Linear Systems Using Particles

DOI10.1007/978-3-540-71493-4_11MaRDI QIDQ3612964zbMATH OpenOpenAlexFDO

Authors Lars Blackmore, Askar Bektassov, Masahiro Ono, Brian C. Williams

Publication date 11 March 2009

Published in Hybrid Systems: Computation and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-71493-4_11

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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(7)

• Dynamic option hedging via stochastic model predictive control based on scenario simulation
• PF-MPC: particle filter-model predictive control
• Particle predictive control
• Optimal level-crossing prediction for jump linear MIMO dynamical systems
• Stable receding-horizon scenario predictive control for Markov-jump linear systems
• Use of particle filters in an active control algorithm for noisy nonlinear structural dynamical systems
• Model predictive control synthesis for constrained Markovian jump linear systems with bounded disturbance

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