Discrete-time Markovian jump linear systems

• Autorzy: Szajowski K. , Koning W.
• Języki publikacji: EN

Abstrakty

EN

The paper considers a problem of optimal control of a linear system with the parameters dependent on the states of a Markov chain. The cost criterion is quadratic in the controls and states of the system. The criterion parameters also depend on the states of the Markov chain. Two models of observation of the Markov chain are adopted - delay for one step and no delay. It is shown that under appopriate mean square detectability and stabilizability conditions the infinite horizon optimal control problem for the general case of Markovian jump linear quadratic systems has a unigue mean square stabilizing solution. Necessary and sufficient conditions are given to determine if a system is mean square stabilizable.

Słowa kluczowe

EN

delayed observation; detectability; jump linear systems; Markov chain; optimal control; stabilizability

PL

proces Markowa; sterowanie optymalne; układ optymalny liniowy

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 1998
• Tom: Vol. 27, no 1
• Strony: 63--80
• Opis fizyczny: Bibliogr. 17 poz.,

Twórcy

autor

Szajowski K.

autor

Koning W.

• Institute of Mathematics, Wrocław University of Technology, Wybrzeże Wyspiańskiego 27, PL-50-370 Wrocław, Poland,