Optimal control for continuous time LQ-problems with infinite Markov jump parameters via semigroup

The subject matter of this paper is the optimal control problem for continuous-time linear systems subject to Markovian jumps in the parameters and the usual infinite time horizon quadratic cost. What essentially distinguishes our problem from previous ones, inter alia, is that the Markov chain take...

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Published inProceedings of the 38th IEEE Conference on Decision and Control (Cat. No.99CH36304) Vol. 4; pp. 4131 - 4136 vol.4
Main Authors Fragoso, M.D., Baczynski, J.
Format Conference Proceeding
LanguageEnglish
Published IEEE 1999
Subjects
Brazil Council
Control systems
Cost function
Lifting equipment
Linear approximation
Linear systems
Markov processes
Optimal control
Riccati equations
Stochastic processes
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Summary:The subject matter of this paper is the optimal control problem for continuous-time linear systems subject to Markovian jumps in the parameters and the usual infinite time horizon quadratic cost. What essentially distinguishes our problem from previous ones, inter alia, is that the Markov chain takes values on a countably infinite set. A peculiar feature of this scenario is that it requires the use of powerful tools from the theory of semigroup in Banach space and a decomplexification technique. The solution for the problem relies, in part, on the study of a countably infinite set of coupled algebraic Riccati equations (ICARE). Conditions for existence and uniqueness of a positive semidefinite solution of the ICARE are obtained via the extended concepts of stochastic stabilizability (SS) and stochastic detectability (SD). These concepts are couched into the theory of operators in Banach space, via the spectrum of a certain infinite dimensional linear operator.
ISBN:9780780352506
0780352505
ISSN:0191-2216
DOI:10.1109/CDC.1999.828009