Optimal control for a singularly perturbed linear stochastic system with multiplicative white noise perturbations and Markovian jumping

DOI10.1002/OCA.2251MaRDI QIDQ5346594zbMATH OpenOpenAlexFDO

Authors Vasile Dragan, Hiroaki Mukaidani

Publication date 26 May 2017

Published in Optimal Control Applications \& Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/oca.2251

zbMATH Keywords

numerical algorithmMarkovian jumping parameterslinear quadratic optimal controlcoupled stochastic algebraic Riccati equations (CSAREs)singularly perturbed linear stochastic systems (SPLSS)

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Linear systems in control theory (93C05) Time-scale analysis and singular perturbations in control/observation systems (93C70) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 1371709 (Why is no real title available?)
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• scientific article; zbMATH DE number 3236503 (Why is no real title available?)
• Continuous-time Markov jump linear systems.
• Manufacturing systems with random breakdowns and deteriorating items
• Mathematical methods in robust control of linear stochastic systems
• Near-optimal control for multiparameter singularly perturbed stochastic systems
• Stabilization of linear systems over networks with bounded packet loss
• The linear quadratic regulator problem for a class of controlled systems modeled by singularly perturbed Itô differential equations

Cited in

(4)

• The Linear Quadratic Optimization Problems for a Class of Linear Stochastic Systems With Multiplicative White Noise and Markovian Jumping
• Near-optimal control for a singularly perturbed linear stochastic singular system with Markovian jumping parameters
• The linear quadratic regulator problem for a class of controlled systems modeled by singularly perturbed Itô differential equations
• Near-optimal control for multiparameter singularly perturbed stochastic systems

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