Optimal Control for Markovian Jump Systems with Colored Process Noise
This paper investigates optimal controller design for Markovian jump systems with colored process noise. Since the colored process noise can be obtained by white noise through shaping filter, we get new equivalent equations of the concerned systems by using expansion vector method. Based on this, the optimal estimator in mean squared sense is deduced by adopting Kalman filter. According to the separation principle, the feedback controller only depends on the state estimation variables. With the desired controller for such Markovian jump systems, the quadratic control performance of such systems can be minimized. A numerical simulation illustrates the validity of this method.
Markovian Jump Systems Colored Noise Separation Principle Optimal Control
Longmei Zhang Jin Zhu Linpeng Wang Huiyu Jin
Department of Automation, University of Science and Technology of China, Hefei 230027
国际会议
The 24th Chinese Control and Decision Conference (第24届中国控制与决策学术年会 2012 CCDC)
太原
英文
758-762
2012-05-23（万方平台首次上网日期，不代表论文的发表时间）