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Jump Lq-Optimal Control For Discrete-Time Markovian Systems With Stochastic Inputs

 

作者: O.L.V. Costa,   J.B.R. do Val,  

 

期刊: Stochastic Analysis and Applications  (Taylor Available online 1998)
卷期: Volume 16, issue 5  

页码: 843-858

 

ISSN:0736-2994

 

年代: 1998

 

DOI:10.1080/07362999808809565

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

In this paper we consider the discrete-time LQ-optimal control problem for the class of linear systems with Markovian jump parameters and additivel2-stochastic input. The state-space of the Markov chain is assumed to be a countably infinite set. The controller has access to both the state-variable and jump-variable. It is shown that the optimal control law is characterized by a feedback term plus a term defined by the:l2-stochastic input and Markov chain. An application to the optimal control of a failure prone manufacturing system subject to a random demand for a single type of item is presented.

 

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