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Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
(PERGAMON-ELSEVIER SCIENCE LTDOXFORD, 2012-02)
In this paper, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noises under two criteria. The first one is an unconstrained mean-variance trade-off ...
Filtering of discrete-time Markov jump linear systems with uncertain transition probabilities
(Wiley-blackwellMaldenEUA, 2011)
Quadratic costs and second moments of jump linear systems with general Markov chain
(Springer London LtdLondonInglaterra, 2011)