Jump linear quadratic Gaussian problem for a class of nonhomogeneous Markov jump linear systems

DOI10.1002/OCA.2271MaRDI QIDQ5364313zbMATH OpenOpenAlexFDO

Authors Jin Zhu, Gaosheng Zhang, Wanqing Xie

Publication date 4 October 2017

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

Full work available at URL https://doi.org/10.1002/oca.2271

zbMATH Keywords

separation principleMarkov jump linear systemJLQGnonhomogeneous MTRM

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear-quadratic optimal control problems (49N10) Linear systems in control theory (93C05) Optimal stochastic control (93E20)

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Cited in

(4)

• Linear quadratic nonzero-sum stochastic differential game of a partially observed Markov jump linear systems
• Optimal control for a class of discrete-time nonhomogeneous Markovian jump linear systems
• Linear quadratic optimal control for a class of continuous-time nonhomogeneous Markovian jump linear systems in infinite time horizon
• The Linear Quadratic Optimization Problems for a Class of Linear Stochastic Systems With Multiplicative White Noise and Markovian Jumping

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