Optimal control for continuous-time linear quadratic problems with infinite Markov jump parameters

SIAM Journal on Control and Optimization

Volumn 40, Issue 1, 2002, Pages 270-297

  Fragoso, Marcelo D ^a   Baczynski, Jack ^a  

^a LABORATÓRIO NACIONAL DE COMPUTAÇÃO CIENTÍFICA   (Brazil)

Author keywords

Continuous time; Infinite Markov chain; Jump parameter; Linear systems; Stochastic control

Indexed keywords

CONTROLLABILITY; MARKOV PROCESSES; MATHEMATICAL OPERATORS; OPTIMAL CONTROL SYSTEMS; RICCATI EQUATIONS; STOCHASTIC CONTROL SYSTEMS;

LINEAR QUADRATIC PROBLEMS;

LINEAR CONTROL SYSTEMS;

EID: 0036210695     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012900367485     Document Type: Article

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