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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