A Separation Principle for the Continuous-Time LQ-Problem With Markovian Jump Parameters
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Publication:4979022
DOI10.1109/TAC.2010.2048056zbMATH Open1368.93785MaRDI QIDQ4979022FDOQ4979022
Authors: Marcelo Dutra Fragoso, Oswaldo Luiz V. Costa 
Publication date: 25 August 2017
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Applications of continuous-time Markov processes on discrete state spaces (60J28) Signal detection and filtering (aspects of stochastic processes) (60G35) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)
Cited In (12)
- Linear quadratic nonzero-sum stochastic differential game of a partially observed Markov jump linear systems
- Quadratic control with partial information for discrete-time jump systems with the Markov chain in a general Borel space
- Adaptive control of stochastic nonlinear systems with Markovian switching
- Dynamic output feedback control for continuous-time Markov jump linear systems with hidden Markov models
- A constructive method to static output stabilisation of Markov jump systems
- Decision-control mechanism for Markovian jump linear systems with Gaussian noise
- Average reachability of continuous-time Markov jump linear systems and the linear minimum mean square estimator
- A novel iterative algorithm for solving coupled Riccati equations
- Infinite horizon linear quadratic stochastic Nash differential games of Markov jump linear systems with its application
- H∞ control of continuous-time Markov jump linear systems with detector-based mode information
- An iterative algorithm for coupled Riccati equations in continuous-time Markovian jump linear systems
- On the control of Markov jump linear systems with no mode observation: application to a DC Motor device
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