On the continuous time-varying JLQC

DOI10.1016/j.jfranklin.2003.12.013zbMath1079.93042OpenAlexW1971004637MaRDI QIDQ705930

Adam Czornik, Andrzej Swierniak

Publication date: 16 February 2005

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfranklin.2003.12.013

zbMATH Keywords

Linear systemsJump linear systemLinear-quadratic problemsMarkov chains with discrete parameterMarkovian jump linear quadratic controlTime-varying system

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Continuous-time Markov processes on discrete state spaces (60J27)

Cites Work

• Jump linear quadratic control with random state discontinuities
• On discrete-time linear quadratic control
• On the discrete JLQ and JLQG problems.
• On the solution of discrete-time Markovian jump linear quadratic control problems
• Controllability, stabilizability, and continuous-time Markovian jump linear quadratic control
• Optimal control of jump-linear gaussian systems†
• Discrete-time markovian-jump linear quadratic optimal control
• Controllability, observability and discrete-time markovian jump linear quadratic control
• Optimal quadratic control of jump linear systems with separately controlled transition probabilities
• Stochastic stability properties of jump linear systems
• Solution and asymptotic behavior of coupled Riccati equations in jump linear systems
• Continuity of the solution of the Riccati equations for continuous time JLQP
• Feedback regulators for jump parameter systems with state and control dependent transition rates
• A note on an LQG regulator with Markovian switching and pathwise average cost
• Discrete-time LQ-optimal control problems for infinite Markov jump parameter systems
• Stabilization of jump linear gaussian systems without mode observations
• LMI optimization for nonstandard Riccati equations arising in stochastic control
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