Discrete-time jump LQG problem

DOI10.1080/00207728908910331MaRDI QIDQ4205385zbMATH OpenOpenAlexFDO

Authors Marcelo Dutra Fragoso

Publication date 1989

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/10.1080/00207728908910331

zbMATH Keywords

dynamic programmingmarkovian jumping parameters

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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Cites work

• A survey of design methods for failure detection in dynamic systems
• A two-level estimator for time varying parameters
• An actively adaptive control for linear systems with random parameters via the dual control approach
• An approach to adaptive control using real time identification
• Discrete-time markovian-jump linear quadratic optimal control
• On the adaptive control of a class of systems with random parameters and disturbances
• Optimal adaptive LQG control for systems with finite state process parameters

Cited in

(15)

• Stochastic Optimal Tracking with Preview for Linear Discrete-Time Markovian Jump Systems (Extended Abstract)
• Feasible control design for plants with discrete-time Markov jump parameters
• Robust stability and stabilization of the family of jumping stochastic systems
• Transition probability bounds for the stochastic stability robustness of continuous- and discrete-time Markovian jump linear systems
• On a partially observable LQG problem for systems with Markovian jumping parameters
• Robust adaptive tracking for Markovian jump nonlinear systems with unknown nonlinearities
• Optimal control‐decision strategy for wireless networked control systems with structural variation and packet dropout
• Control of discrete-time hybrid stochastic systems
• A computational method for a class of jump linear quadratic systems
• A formula for the optimal cost in the general discrete-time LEQG problem
• A class of discrete time generalized Riccati equations
• Iterative algorithm to compute the maximal and stabilising solutions of a general class of discrete-time Riccati-type equations
• Linear quadratic optimization problems for some discrete-time stochastic linear systems
• Optimal control of jump-linear gaussian systems†
• Composite control of discrete singularly perturbed systems with stochastic jump parameters

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