Linear quadratic Gaussian control of discrete-time Markov jump linear systems with horizon defined by stopping times
Abstract
The linear quadratic Gaussian control of discrete-time Markov jump linear systems is addressed in this paper, first for state feedback, and also for dynamic output feedback using state estimation. in the model studied, the problem horizon is defined by a stopping time τ which represents either, the occurrence of a fix number N of failures or repairs (T N), or the occurrence of a crucial failure event (τ δ), after which the system paralyzed. From the constructive method used here a separation principle holds, and the solutions are given in terms of a Kalman filter and a state feedback sequence of controls. The control gains are obtained by recursions from a set of algebraic Riccati equations for the former case or by a coupled set of algebraic Riccati equation for the latter case. Copyright © 2005 IFAC.
How to cite this document
Keywords
Language
Collections

Related items
Showing items related by title, author, creator and subject.
-
H ∞ state feedback control of discrete-time Markov jump linear systems through linear matrix inequalities
Gonçalves, A. P C; Fioravanti, A. R.; Al-Radhawi, M. A.; Geromel, J. C. (IFAC Proceedings Volumes (IFAC-PapersOnline), 2011) [Trabalho apresentado em evento]
This paper addresses the H ∞ state-feedback control design problem of discretetime Markov jump linear systems. First, under the assumption that the Markov parameter is measured, the main contribution is on the LMI ... -
The LQ control problem for Markovian jumps linear systems with horizon defined by stopping times
Nespoli, Cristiane; Do Val, João B. R.; Cáceres, Yusef (Proceedings of the American Control Conference, 2004) [Trabalho apresentado em evento]
This paper deals with a stochastic optimal control problem involving discrete-time jump Markov linear systems. The jumps or changes between the system operation modes evolve according to an underlying Markov chain. In the ... -
Stochastic Stability for Markovian Jump Linear Systems Subject to a Crucial Failure Event
Do Val, João B.R.; Nespoli, Crisliane(Proceedings of the American Control Conference, 2003) [Trabalho apresentado em evento]
This paper is concerned with the stability of discrete-time linear systems subject to random jumps in the parameters, described by an underlying finite-state Markov chain. In the model studied, a stopping time τ Δ is ...