Control of discrete-time hybrid stochastic systems

A realistic stochastic control problem for hybrid systems with Markovian jump parameters can have switching parameters in both the state and the measurement equations. Furthermore, both the `base´ and jump states, in general, are not perfectly observed. There are only two existing controllers for this problem, both with complexity exponentially increasing with time. The authors present another control algorithm for stochastic systems with Markovian jump parameters. This algorithm is derived through the use of stochastic dynamic programming and is designed to be used for realistic stochastic control problems, i.e., with noisy state observations. This scheme has fixed computational requirements at each stage and a natural parallel implementation. Simulation results are used to compare the algorithm with previous schemes