Jump linear quadratic Gaussian control in continuous time Export

@article{Ji_TAC92, abstract = {The optimal quadratic control of continuous-time linear systems that possess randomly jumping parameters which can be described by finite-state Markov processes is addressed. The systems are also subject to Gaussian input and measurement noise. The optimal solution for the jump linear-quadratic-Gaussian (JLQC) problem is given. This solution is based on a separation theorem. The optimal state estimator is sample-path dependent. If the plant parameters are constant in each value of the underlying jumping process, then the controller portion of the compensator converges to a time-invariant control law. However, the filter portion of the optimal infinite time horizon JLQC compensator is not time invariant. Thus, a suboptimal filter which does converge to a steady-state solution (under certain conditions) is derived, and a time-invariant compensator is obtained}, author = {Ji, Y. and Chizeck, H. J.}, booktitle = {Automatic Control, IEEE Transactions on}, citeulike-article-id = {4505446}, citeulike-linkout-0 = {http://dx.doi.org/10.1109/9.182475}, citeulike-linkout-1 = {http://ieeexplore.ieee.org/xpls/abs_all.jsp?arnumber=182475}, doi = {10.1109/9.182475}, journal = {Automatic Control, IEEE Transactions on}, keywords = {jump\_processes\_random\_networks, lqg\_lqr, optimal\_control, stochastic\_control}, number = {12}, pages = {1884--1892}, posted-at = {2009-05-12 17:26:26}, priority = {2}, title = {Jump linear quadratic Gaussian control in continuous time}, url = {http://dx.doi.org/10.1109/9.182475}, volume = {37}, year = {1992} }

TY - JOUR ID - Ji_TAC92 L3 - citeulike-article-id:4505446 N2 - The optimal quadratic control of continuous-time linear systems that possess randomly jumping parameters which can be described by finite-state Markov processes is addressed. The systems are also subject to Gaussian input and measurement noise. The optimal solution for the jump linear-quadratic-Gaussian (JLQC) problem is given. This solution is based on a separation theorem. The optimal state estimator is sample-path dependent. If the plant parameters are constant in each value of the underlying jumping process, then the controller portion of the compensator converges to a time-invariant control law. However, the filter portion of the optimal infinite time horizon JLQC compensator is not time invariant. Thus, a suboptimal filter which does converge to a steady-state solution (under certain conditions) is derived, and a time-invariant compensator is obtained IS - 12 JF - Automatic Control, IEEE Transactions on EP - 1892 TI - Jump linear quadratic Gaussian control in continuous time VL - 37 T2 - Automatic Control, IEEE Transactions on SP - 1884 KW - jump_processes_random_networks KW - lqg_lqr KW - optimal_control KW - stochastic_control AU - Ji, Y AU - Chizeck, HJ PY - 1992/// UR - http://dx.doi.org/10.1109/9.182475 ER -