Stochastic LQ optimal control for Markov jumping systems with multiplicative noise using reinforcement learning

DOI10.1016/J.SYSCONLE.2024.105765MaRDI QIDQ6569396zbMATH OpenFDO

Authors Linwei Ye, Zhonggai Zhao, Fei Liu

Publication date 9 July 2024

Published in Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

multiplicative noisereinforcement learningstochastic linear quadratic optimal controlMarkov jumping systems

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Linear-quadratic optimal control problems (49N10) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 2136426 (Why is no real title available?)
• Almost sure and moments stability of jump linear systems
• Decentralized control of power systems via robust control of uncertain Markov jump parameter systems
• Decentralized robust control of uncertain Markov jump parameter systems via output feedback
• Discrete-time LQ-optimal control problems for infinite Markov jump parameter systems
• Exponential stabilizability of stochastic systems with Markovian jumping parameters
• Feedback control of a class of linear discrete systems with jump parameters and quadratic cost criteria †
• Jump LQR Systems With Unknown Transition Probabilities
• Network‐based robust event‐triggered control for continuous‐time uncertain semi‐Markov jump systems
• Online reinforcement learning multiplayer non-zero sum games of continuous-time Markov jump linear systems
• Robust control on saturated Markov jump systems with missing information
• Robust fault detection filter design for a class of discrete-time conic-type non-linear Markov jump systems with jump fault signals
• Robust fault detection of singular Markov jump systems with partially unknown information
• Stability results for discrete-time linear systems with Markovian jumping parameters
• Value iteration and adaptive dynamic programming for data-driven adaptive optimal control design

Cited in

(6)

• Successive over relaxation for model-free LQR control of discrete-time Markov jump systems
• Reinforcement learning for linear exponential quadratic Gaussian problem
• Value iteration for LQR control of unknown stochastic-parameter linear systems
• Optimal control for continuous-time Markov jump singularly perturbed systems: a hybrid reinforcement learning scheme
• Feedback linear quadratic Nash equilibrium for discrete-time Markov jump linear systems
• Connecting stochastic optimal control and reinforcement learning

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