Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems

DOI10.1016/j.automatica.2006.10.022zbMath1115.49021OpenAlexW2040759244MaRDI QIDQ880408

Oswaldo L. V. Costa, Wanderlei L. de Paulo

Publication date: 15 May 2007

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2006.10.022

zbMATH Keywords

Markov processdiscrete-timemultiplicative noisewell-posedcoupled generalized Riccati difference equationindefinite stochastic linear quadratic control

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Sensitivity, stability, well-posedness (49K40) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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