Discrete-Time Markovian Jump Linear Quadratic Optimal Control,

Abstract

This paper is concerned with the optimal control of discrete-time linear systems that possess randomly jumping parameters described by finite state Markov processes. For problems having quadratic costs and perfect observations, the optimal control laws and expected costs-to-go can be precomputed from a set of coupled Riccati-like matrix difference equations. Necessary and sufficient conditions are derived for the existence of optimal constant control laws which stabilize the controlled system as the time horizon becomes infinite, with finite optimal expected cost. Originator supplied keywords are: Markov chains, Problem solving, Steady state. (Author).

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1985
Accession Number
ADA150982

Entities

People

  • A. S. Willsky
  • David A. Castañón
  • H. J. Chizeck

Organizations

  • Massachusetts Institute of Technology

Tags

Communities of Interest

  • Human Systems

DTIC Thesaurus Topics

  • Buildings And Structures
  • Closed Loop Systems
  • Difference Equations
  • Differential Equations
  • Dynamics
  • Eigenvalues
  • Equations
  • Feedback
  • Linear Systems
  • Markov Chains
  • Markov Processes
  • Massachusetts
  • Observation
  • Partial Differential Equations
  • Probability
  • Standards
  • Steady State

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Mathematical Modeling and Probability Theory.