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

DOI10.1080/00207729108910813MaRDI QIDQ3986090zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 3438157 (Why is no real title available?)
• A survey of design methods for failure detection in dynamic systems
• An Exact Formula for a Linear Quadratic Adaptive Stochastic Optimal Control Law
• Optimal Adaptive Control of Linear-Quadratic-Gaussian Systems
• Optimal Stationary Control of a Linear System with State-Dependent Noise
• Optimal adaptive LQG control for systems with finite state process parameters
• Singular perturbation of linear regulators: Basic theorems
• Stability and Control of Stochastic Systems with Wide-band Noise Disturbances. I
• 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
• Linear quadratic optimization problems for some discrete-time stochastic linear systems
• The Linear Quadratic Optimization Problems for a Class of Linear Stochastic Systems With Multiplicative White Noise and Markovian Jumping
• 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
• Stochastic \(H^2\) optimal control for a class of linear systems with periodic coefficients
• Switching diffusion approximations for optimal power management in parallel processing systems
• Quadratic costs and second moments of jump linear systems with general Markov chain
• A linear controller for systems with noise coefficients
• Discrete-time jump LQG problem
• scientific article; zbMATH DE number 2037796 (Why is no real title available?)
• A numerical method for ergodic optimal control of switching diffusions with reflection

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