Solutions for the linear-quadratic control problem of Markov jump linear systems

dc.creatordo Val, JBR
dc.creatorGeromel, JC
dc.creatorCosta, OLV
dc.date1999
dc.dateNOV
dc.date2014-12-02T16:27:47Z
dc.date2015-11-26T16:34:57Z
dc.date2014-12-02T16:27:47Z
dc.date2015-11-26T16:34:57Z
dc.date.accessioned2018-03-28T23:17:18Z
dc.date.available2018-03-28T23:17:18Z
dc.identifierJournal Of Optimization Theory And Applications. Kluwer Academic/plenum Publ, v. 103, n. 2, n. 283, n. 311, 1999.
dc.identifier0022-3239
dc.identifierWOS:000084114500002
dc.identifier10.1023/A:1021748618305
dc.identifierhttp://www.repositorio.unicamp.br/jspui/handle/REPOSIP/71857
dc.identifierhttp://www.repositorio.unicamp.br/handle/REPOSIP/71857
dc.identifierhttp://repositorio.unicamp.br/jspui/handle/REPOSIP/71857
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/1271356
dc.descriptionThe paper is concerned with recursive methods for obtaining the stabilizing solution of coupled algebraic Riccati equations arising in the linear-quadratic control of Markovian jump linear systems by solving at each iteration uncoupled algebraic Riccati equations. It is shown that the new updates carried out at each iteration represent approximations of the original control problem by control problems with receding horizon, for which some sequences of stopping times define the terminal time. Under this approach, unlike previous results, no initialization conditions are required to guarantee the convergence of the algorithms. The methods can be ordered in terms of number of iterations to reach convergence, and comparisons with existing methods in the current literature are also presented. Also, we extend and generalize current results in the literature for the existence of the mean-square stabilizing solution of coupled algebraic Riccati equations.
dc.description103
dc.description2
dc.description283
dc.description311
dc.languageen
dc.publisherKluwer Academic/plenum Publ
dc.publisherNew York
dc.publisherEUA
dc.relationJournal Of Optimization Theory And Applications
dc.relationJ. Optim. Theory Appl.
dc.rightsfechado
dc.sourceWeb of Science
dc.subjectlinear-quadratic control
dc.subjectMarkov jump linear systems
dc.subjectnonstandard Riccati equation
dc.subjectstopping time problems
dc.subjectEquations
dc.subjectIterations
dc.titleSolutions for the linear-quadratic control problem of Markov jump linear systems
dc.typeArtículos de revistas


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