SLQC for Discrete-Time Markovian Jump Stochastic Linear Systems

摘要：

In this paper, the problem of the optimization of a quadratic cost functional along the trajectories of a discrete-time stochastic linear systems with Markovian jump is investigated. The case of finite time horizon is considered. A suitable solution for a system of discrete-time Riccati type equations is used to construct the optimal control. After some useful auxiliary results given in this paper, the problem of the optimization of a discrete-time stochastic linear systems with Markovian jump in the finite time horizon case is solved.

关键词： Stochastic linear-quadratic control (SLQC) Markovian jump Discrete-time Stochastic systems

作者: SUN Hunying ZHANG Xuelei FENG Chunyu

作者单位: College of Information and Electrical Engineering, Shandong University of Science and Technology, Qingdao 266590, P. R. China

会议类型: 国际会议

会议名称: The 31st Chinese Control Conference(第三十一届中国控制会议)

会议地点: 合肥

会议语种:英文

页码: 2326-2330

在线出版日期: 2012-07-01（万方平台首次上网日期，不代表论文的发表时间）