Optimization of Markov jump linear system with controlled jump probabilities of modes
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چکیده
The optimal control p roblem of Markov jump linear quadratic model with controlled jump probabilities of modes is investigated. Two kinds of mode control policies , open2loop control policy and close2loop control policy , are considered. By using policy iteration and performance potential concept , a sufficient condition for the optimal close2 loop control policy being better than the optimal open2loop control policy is p roposed. The condition is helpful for the design of an optimal controller. Furthermore , based on the optimal open2loop control policy , by using policy iteration , an efficient algorithm is proposed to const ruct a close2loop control policy , and the performence of the system is further
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