A separation principle for the \(H_{2}\)-control of continuous-time infinite Markov jump linear systems with partial observations

DOI10.1016/j.jmaa.2006.08.069zbMath1117.93073OpenAlexW2053545855MaRDI QIDQ879092

Oswaldo L. V. Costa, Marcelo Dutra Fragoso

Publication date: 4 May 2007

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2006.08.069

zbMATH Keywords

linear systemsseparation principleadjoint operatorcontinuous-time\(H_{2}\)-control with partial observationsinfinite Markov jump parameters

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Stochastic stability in control theory (93E15)

Related Items (4)

State estimation for time-delay systems with Markov jump parameters and missing measurements ⋮ Fast Switching Detector-Based $H_2$ Control of Markov Jump Linear Systems with Multiplicative Noises ⋮ H_∞ control of continuous-time Markov jump linear systems with detector-based mode information ⋮ Quadratic control with partial information for discrete-time jump systems with the Markov chain in a general Borel space

Cites Work

• \(H_2\)-control and the separation principle for discrete-time Markovian jump linear systems
• The Riccati equation
• Continuous-time state-feedback \(H_2\)-control of Markovian jump linear systems via convex analysis
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• \(H^{2}\) optimal control for linear stochastic systems
• Optimization of stochastic systems. Topics in discrete-time systems
• Optimal Control for Continuous-Time Linear Quadratic Problems with Infinite Markov Jump Parameters
• A Unified Approach for Stochastic and Mean Square Stability of Continuous-Time Linear Systems with Markovian Jumping Parameters and Additive Disturbances
• State-space solutions to standard H/sub 2/ and H/sub infinity / control problems
• Optimal control for a class of noisy linear systems with markovian jumping parameters and quadratic cost
• Dual effect, certainty equivalence, and separation in stochastic control
• Output feedback control of Markov jump linear systems in continuous-time
• Stochastic versus mean square stability in continuous time linear infinite Markov jump parameter systems
• On the Separation Theorem of Stochastic Control
• LMI optimization for nonstandard Riccati equations arising in stochastic control
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