Optimal control for a class of noisy linear systems with markovian jumping parameters and quadratic cost

DOI10.1080/00207729108910813zbMATH Open0749.49020OpenAlexW2051699840MaRDI QIDQ3986090FDOQ3986090

Authors: Marcelo Dutra Fragoso, Elder Moreira Hemerly 

Publication date: 27 June 1992

Published in: International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207729108910813

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zbMATH Keywords

stochastic optimal controlhomogeneous Markov processlinear stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

Cites Work

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• Stability and Control of Stochastic Systems with Wide-band Noise Disturbances. I
• A survey of design methods for failure detection in dynamic systems
• Optimal adaptive LQG control for systems with finite state process parameters
• Singular perturbation of linear regulators: Basic theorems
• Optimal Adaptive Control of Linear-Quadratic-Gaussian Systems
• Optimal Stationary Control of a Linear System with State-Dependent Noise
• An Exact Formula for a Linear Quadratic Adaptive Stochastic Optimal Control Law
• The adaptive LQG problem--Part I

Cited In (17)

• A note on an LQG regulator with Markovian switching and pathwise average cost
• A separation principle for the \(H_{2}\)-control of continuous-time infinite Markov jump linear systems with partial observations
• Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems
• On a partially observable LQG problem for systems with Markovian jumping parameters
• \(H_2\) optimal controllers for a large class of linear stochastic systems with periodic coefficients
• The Linear Quadratic Optimization Problems for a Class of Linear Stochastic Systems With Multiplicative White Noise and Markovian Jumping
• Linear quadratic optimization problems for some discrete-time stochastic linear systems
• Lyapunov coupled equations for continuous-time infinite Markov jump linear systems
• On the continuous time-varying JLQ problem
• Optimal control for a singularly perturbed linear stochastic system with multiplicative white noise perturbations and Markovian jumping
• Switching diffusion approximations for optimal power management in parallel processing systems
• Stochastic \(H^2\) optimal control for a class of linear systems with periodic coefficients
• A linear controller for systems with noise coefficients
• Quadratic costs and second moments of jump linear systems with general Markov chain
• Discrete-time jump LQG problem
• Title not available (Why is that?)
• A numerical method for ergodic optimal control of switching diffusions with reflection

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