Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems

Automatica

Volumn 43, Issue 4, 2007, Pages 587-597

  Costa, Oswaldo L V ^a   de Paulo, Wanderlei L ^a  

^a UNIVERSITY OF SÃO PAULO   (Brazil)

Author keywords

Coupled generalized Riccati difference equation; Discrete time; Indefinite stochastic linear quadratic control; Markov process; Multiplicative noise; Well posed

Indexed keywords

DISCRETE TIME CONTROL SYSTEMS; LINEAR SYSTEMS; MARKOV PROCESSES; OPTIMIZATION; PROBLEM SOLVING; RICCATI EQUATIONS;

COUPLED GENERALIZED RICCATI DIFFERENCE EQUATION; INDEFINITE STOCHASTIC LINEAR QUADRATIC CONTROL; LINEAR RECURSIVE EQUATIONS; MULTIPLICATIVE NOISE SYSTEMS;

OPTIMAL CONTROL SYSTEMS;

EID: 33847367602     PISSN: 00051098     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.automatica.2006.10.022     Document Type: Article

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