Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise

DOI10.1080/00207170802050825zbMath1168.93023OpenAlexW2033947719MaRDI QIDQ5323281

Rodrigo T. Okimura, Oswaldo L. V. Costa

Publication date: 23 July 2009

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207170802050825

zbMATH Keywords

stochastic optimal controlmultiplicative noiseMarkov jump systemsmean variance control

Mathematics Subject Classification ID

Related Items (3)

Linear-quadratic parametrization of stabilizing controls in discrete-time 2D systems ⋮ Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises ⋮ Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises

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