Infinite-horizon Linear Optimal Control of Markov Jump Systems without Mode Observation via State Feedback
Systems and Control
2015-07-02 v1
Abstract
In this paper, we consider stochastic optimal control of Markov Jump Linear Systems with state feedback but without observation of the jumping parameter. The proposed control law is assumed to be linear with constant gains that can be obtained from the necessary optimality conditions using an iterative algorithm. The proposed approach is demonstrated in a numerical example.
Keywords
Cite
@article{arxiv.1507.00304,
title = {Infinite-horizon Linear Optimal Control of Markov Jump Systems without Mode Observation via State Feedback},
author = {Maxim Dolgov and Uwe D. Hanebeck},
journal= {arXiv preprint arXiv:1507.00304},
year = {2015}
}