Title :
Optimal constant gain control of jump-linear systems with discrete state uncertainty
Author :
Kalmanovich, G. ; Haddad, A.H.
Author_Institution :
Dept. of Electr. Eng. & Comput. Sci., Northwestern Univ., Evanston, IL, USA
Abstract :
Jump-linear systems are dynamic systems with abrupt switches among several linear models, conditioned on an underlying finite state Markov process. This paper is concerned with optimal control of jump-linear systems when the discrete Markov process is not directly observable. Necessary conditions for optimality are found and a local algorithm to obtain such solutions is derived
Keywords :
Markov processes; discrete time systems; linear systems; optimal control; stochastic systems; uncertain systems; discrete state uncertainty; dynamic systems; finite state Markov process; jump-linear systems; necessary conditions; optimal constant gain control; Filters; Gain control; Linear systems; Markov processes; Nonlinear dynamical systems; Optimal control; State estimation; State-space methods; Switches; Uncertainty;
Conference_Titel :
Decision and Control, 1994., Proceedings of the 33rd IEEE Conference on
Conference_Location :
Lake Buena Vista, FL
Print_ISBN :
0-7803-1968-0
DOI :
10.1109/CDC.1994.411404
