Title :
Jump linear quadratic regulator with controlled jump rates
Author :
Boukas, E.K. ; Liu, Z.K.
Author_Institution :
Dept. of Mech. Eng., Ecole Polytech. de Montreal, Que., Canada
fDate :
2/1/2001 12:00:00 AM
Abstract :
Deals with the class of continuous-time linear systems with Markovian jumps. We assume that jump rates are controlled. Our purpose is to study the jump linear quadratic (JLQ) regulator of the class of systems. The structure of the optimal controller is established. For a one-dimensional (1-D) system, an algorithm for solving the corresponding set of coupled Riccati equations of this optimal control problem is provided. Two numerical examples are given to show the usefulness of our results
Keywords :
Markov processes; Riccati equations; linear quadratic control; linear systems; stochastic systems; 1D system; Markovian jumps; continuous-time linear systems; controlled jump rates; coupled Riccati equations; jump linear quadratic regulator; one-dimensional system; Hybrid power systems; Linear systems; Manufacturing systems; Markov processes; Mechanical variables control; Optimal control; Power system economics; Power system modeling; Regulators; Riccati equations;
Journal_Title :
Automatic Control, IEEE Transactions on
