Solutions for the linear-quadratic control problem of Markov jump linear systems

DOI10.1023/A:1021748618305zbMath0948.49018MaRDI QIDQ1962466

Oswaldo L. V. Costa, João B. R. do Val, José C. Geromel

Publication date: 31 January 2000

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

zbMATH Keywords

linear-quadratic controlMarkovian jump linear systemsstopping time problemsnonstandard Riccati equation

Mathematics Subject Classification ID

Related Items (17)

Weak detectability and the linear-quadratic control problem of discrete-time Markov jump linear systems ⋮ On some iterations for optimal control of jump linear equations ⋮ A method to solve the discrete-time coupled algebraic Riccati equations ⋮ A new iteration to coupled discrete-time generalized Riccati equations ⋮ Optimal control‐decision strategy for wireless networked control systems with structural variation and packet dropout ⋮ On the convergence of the accelerated Riccati iteration method ⋮ An iterative algorithm to solve state-perturbed stochastic algebraic Riccati equations in LQ zero-sum games ⋮ Stabilization of linear time varying systems over uncertain channels ⋮ Numerical solution for linear-quadratic control problems of Markov jump linear systems and weak detectability concept ⋮ On a Detectability Concept of Discrete-Time Infinite Markov Jump Linear Systems ⋮ Temporal difference methods for the maximal solution of discrete-time coupled algebraic Riccati equations ⋮ On the detectability and observability of discrete-time Markov jump linear systems ⋮ A novel iterative algorithm for solving coupled Riccati equations ⋮ An algorithm for solving a perturbed algebraic Riccati equation ⋮ Numerical Solution of the Discrete-Time Coupled Algebraic Riccati Equations ⋮ Iterative Methods for a Linearly Perturbed Algebraic Matrix Riccati Equation Arising in Stochastic Control ⋮ Monotonicity of algebraic Lyapunov iterations for optimal control of jump parameter linear systems

Cites Work

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• A new approach to lineary perturbed Riccati equations arising in stochastic control
• Monotonicity of algebraic Lyapunov iterations for optimal control of jump parameter linear systems
• Parallel computation of the solutions of coupled algebraic Lyapunov equations
• A convex programming approach to H2 control of discrete-time markovian jump linear systems
• Controllability, stabilizability, and continuous-time Markovian jump linear quadratic control
• Stochastic stability properties of jump linear systems
• Solution and asymptotic behavior of coupled Riccati equations in jump linear systems
• Uncoupled Riccati iterations for the linear quadratic control problem of discrete-time Markov jump linear systems
• Lyapunov iterations for optimal control of jump linear systems at steady state
• On a Matrix Riccati Equation of Stochastic Control
• LMI optimization for nonstandard Riccati equations arising in stochastic control

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