A Separation Principle for the Continuous-Time LQ-Problem With Markovian Jump Parameters

DOI10.1109/TAC.2010.2048056MaRDI QIDQ4979022zbMATH OpenFDO

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)

Mathematics Subject Classification ID

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)

• 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
• Linear quadratic nonzero-sum stochastic differential game of a partially observed Markov jump linear systems
• 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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