Title :
Optimal control of Markov jump with multiplicative noise systems with indefinite quadratic and linear costs
Author :
Costa, O.L.V. ; De Paulo, W. Lima
Author_Institution :
Dept. de Engenharia de Telecomunicanoes e Controle, Univ. de Sao Paulo
Abstract :
In this paper we consider the stochastic optimal control problem of discrete-time Markov jump with multiplicative noise linear systems. The performance criterion is assumed to be formed by a linear combination of a quadratic part and a linear part in the state and control variables. The weighting matrices of the state and control for the quadratic part are allowed to be indefinite. We present a necessary and sufficient condition under which the problem is well-posed and a state feedback solution can be derived from a set of coupled generalized Riccati difference equations interconnected with a set of coupled linear recursive equations
Keywords :
Markov processes; Riccati equations; difference equations; discrete time systems; linear quadratic control; linear systems; matrix algebra; recursive functions; state feedback; Markov process; control variables; discrete-time Markov jump; generalized Riccati difference equations; indefinite stochastic linear quadratic control; linear recursive equations; multiplicative noise linear systems; quadratic costs; state feedback; state variables; stochastic optimal control problem; weighting matrices; Control systems; Cost function; Difference equations; Linear systems; Optimal control; Portfolios; Riccati equations; Stochastic resonance; Stochastic systems; Sufficient conditions;
Conference_Titel :
American Control Conference, 2006
Conference_Location :
Minneapolis, MN
Print_ISBN :
1-4244-0209-3
Electronic_ISBN :
1-4244-0209-3
DOI :
10.1109/ACC.2006.1655476
