Jump linear quadratic regulator with controlled jump rates

Deals with the class of continuous-time linear systems with Markovian jumps. We assume that jump rates are controlled. Our purpose is to study the jump linear quadratic (JLQ) regulator of the class of systems. The structure of the optimal controller is established. For a one-dimensional (1-D) system...

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Bibliographic Details
Published inIEEE transactions on automatic control Vol. 46; no. 2; pp. 301 - 305
Main Authors Boukas, E.K., Liu, Z.K.
Format Journal Article
LanguageEnglish
Published New York IEEE 01.02.2001
The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subjects
Algorithms
Automatic control
Hybrid power systems
Linear quadratic
Linear quadratic regulator
Linear systems
Manufacturing systems
Markov processes
Mechanical variables control
Optimal control
Optimization
Power system economics
Power system modeling
Regulators
Riccati equation
Riccati equations
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Summary:Deals with the class of continuous-time linear systems with Markovian jumps. We assume that jump rates are controlled. Our purpose is to study the jump linear quadratic (JLQ) regulator of the class of systems. The structure of the optimal controller is established. For a one-dimensional (1-D) system, an algorithm for solving the corresponding set of coupled Riccati equations of this optimal control problem is provided. Two numerical examples are given to show the usefulness of our results.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0018-9286
1558-2523
DOI:10.1109/9.905698