Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems
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Publication:397371
DOI10.3166/EJC.14.391-408zbMATH Open1293.93788OpenAlexW1974180599MaRDI QIDQ397371FDOQ397371
Authors: Oswaldo Luiz do Valle Costa, Wanderlei L. de Paulo 
Publication date: 12 August 2014
Published in: European Journal of Control (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/6d62b55d21dcd3367255d5f97afa7af5c41078e6
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multiplicative noisemaximal solutionstabilizing solutiongeneralized coupled algebraic Riccati equations (GCARE)indefinite stochastic controlMarkov jumps
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Cited In (12)
- Optimal control for continuous-time linear quadratic problems with infinite Markov jump parameters
- Distributed $\mathcal{H}_\infty$ Gaussian Consensus Filtering for Discrete-Time Systems over Lossy Sensor Networks
- Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises
- Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
- Mean-field formulation for the infinite-horizon mean-variance control of discrete-time linear systems with multiplicative noises
- A mean-field formulation for the mean-variance control of discrete-time linear systems with multiplicative noises
- Stochastic optimal control problems of discrete‐time Markov jump systems
- Filtering \(\mathcal{S}\)-coupled algebraic Riccati equations for discrete-time Markov jump systems
- Discrete-time coupled Riccati equations for systems with Markov switching parameters
- Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
- Constrained stochastic LQ optimal control problem with random coefficients on infinite time horizon
- Maximal solution to algebraic Riccati equations linked to infinite Markov jump linear systems
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