Solutions for the Linear-Quadratic Control Problem of Markov Jump Linear Systems
نویسندگان
چکیده
منابع مشابه
On the linear quadratic problem for systems with time reversed Markov jump parameters and the duality with filtering of Markov jump linear systems
We study a class of systems whose parameters are driven by a Markov chain in reverse time. A recursive characterization for the second moment matrix, a spectral radius test for mean square stability and the formulas for optimal control are given. Our results are determining for the question: is it possible to extend the classical duality between filtering and control of linear systems (whose ma...
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ژورنال
عنوان ژورنال: Journal of Optimization Theory and Applications
سال: 1999
ISSN: 0022-3239,1573-2878
DOI: 10.1023/a:1021748618305