Discrete-time LQ-optimal control problems for infinite Markov jump parameter systems

• Published in: IEEE transactions on automatic control Vol. 40; no. 12; pp. 2076 - 2088
• Main Authors: Costa, O.L.V., Fragoso, M.D.
• Format: Journal Article
• Language: English
• Published: New York, NY IEEE 01.12.1995; Institute of Electrical and Electronics Engineers
• Subjects: Additive noise; Applied sciences; Brazil Council; Computer science; control theory; systems; Control systems; Control theory. Systems; Cost function; Equations; Exact sciences and technology; Integrated circuit modeling; Linear systems; Nonlinear control systems; Optimal control; Stochastic processes; Markov process; LQ control; Linear system; Optimal control; Average cost; Algebraic equation; Jump process; Discrete system; Quadratic cost; Infinite horizon; Riccati equation

Optimal control problems for discrete-time linear systems subject to Markovian jumps in the parameters are considered for the case in which the Markov chain takes values in a countably infinite set. Two situations are considered: the noiseless case and the case in which an additive noise is appended...