A Note on an LQG Regulator With Markovian Switching and Pathwise Average Cost

Abstract

We study a linear system with a Markovian switching parameter perturbed by white noise. The cost function is quadratic. Under certain conditions, we find a linear feedback control which is almost surely optimal for the path wise average cost over the infinite planning horizon.

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1994
Accession Number
ADA453008

Entities

People

  • Aristotle Arapostathis
  • Mrinal K. Ghosh
  • Steven I Marcus

Organizations

  • University of Maryland

Tags

DTIC Thesaurus Topics

  • Abstracts
  • Electrical Engineering
  • Engineering
  • Information Operations
  • Linear Systems
  • Regulators
  • Switching
  • Universities
  • White Noise

Fields of Study

  • Mathematics

Readers

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