Optimal control for a class of noisy linear systems with markovian jumping parameters and quadratic cost

DOI10.1080/00207729108910813zbMath0749.49020OpenAlexW2051699840MaRDI QIDQ3986090

Marcelo Dutra Fragoso, Elder Moreira Hemerly

Publication date: 27 June 1992

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207729108910813

zbMATH Keywords

stochastic optimal controlhomogeneous Markov processlinear stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (5)

On a partially observable LQG problem for systems with Markovian jumping parameters ⋮ A separation principle for the \(H_{2}\)-control of continuous-time infinite Markov jump linear systems with partial observations ⋮ On the continuous time-varying JLQ problem ⋮ Switching diffusion approximations for optimal power management in parallel processing systems ⋮ Lyapunov coupled equations for continuous-time infinite Markov jump linear systems

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• The adaptive LQG problem--Part I
• Optimal Adaptive Control of Linear-Quadratic-Gaussian Systems
• Optimal Stationary Control of a Linear System with State-Dependent Noise

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