Numerical solution for linear-quadratic control problems of Markov jump linear systems and weak detectability concept

DOI10.1023/A:1015412121001MaRDI QIDQ700764zbMATH OpenFDO

Authors D. Kharzeev

Publication date 8 October 2002

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

optimal controlcoupled algebraic Riccati equationsMarkov jump linear systemsdetectability and observability of stochastic systemsnumerical methods for stochastic systems

Mathematics Subject Classification ID

Stabilization of systems by feedback (93D15) Stochastic stability in control theory (93E15) Optimal stochastic control (93E20)

Recommendations

• Weak detectability and the linear-quadratic control problem of discrete-time Markov jump linear systems
• On the solution of discrete-time Markovian jump linear quadratic control problems
• Continuity of the solution of the Riccati equations for continuous time JLQP
• Solutions for the linear-quadratic control problem of Markov jump linear systems
• Controllability, stabilizability, and continuous-time Markovian jump linear quadratic control

Cites work

• Continuous-time state-feedback \(H_2\)-control of Markovian jump linear systems via convex analysis
• Controllability, stabilizability, and continuous-time Markovian jump linear quadratic control
• Discrete-time LQ-optimal control problems for infinite Markov jump parameter systems
• LMI optimization for nonstandard Riccati equations arising in stochastic control
• Lyapunov iterations for optimal control of jump linear systems at steady state
• Monotonicity of algebraic Lyapunov iterations for optimal control of jump parameter linear systems
• On the Observability and Detectability of Continuous-Time Markov Jump Linear Systems
• On the detectability and observability of discrete-time Markov jump linear systems
• Solution and asymptotic behavior of coupled Riccati equations in jump linear systems
• Solutions for the linear-quadratic control problem of Markov jump linear systems

Cited in

(6)

• Average reachability of continuous-time Markov jump linear systems and the linear minimum mean square estimator
• On the solution of discrete-time Markovian jump linear quadratic control problems
• An algorithm for solving a perturbed algebraic Riccati equation
• On a Detectability Concept of Discrete-Time Infinite Markov Jump Linear Systems
• Weak detectability and the linear-quadratic control problem of discrete-time Markov jump linear systems
• Solutions for the linear-quadratic control problem of Markov jump linear systems

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