Discrete-time constrained quadratic control of Markovian jump linear systems

Author

Costa, Oswaldo L V ; Filho, E.O.A.

Author_Institution

Escola Politecnica, Sao Paulo Univ., Brazil

Volume

2

fYear

1996

fDate

11-13 Dec 1996

Firstpage

1763

Abstract

This paper considers the quadratic optimal control problem of a discrete-time Markovian jump linear system, subject to constrains on the control and output variables. It is desired to find a state feedback controller, which may also depend on the jump variable, that minimizes a quadratic cost and satisfies the control and output constrains. The transition probability and initial condition may belong to appropriate convex sets. A solution of this problem is obtained in terms of LMI, so that convex programming can be used for numerical calculations

Keywords

Markov processes; convex programming; discrete time systems; linear quadratic control; linear systems; matrix algebra; minimisation; nonlinear programming; state feedback; stochastic systems; LMI; Markovian jump linear systems; convex programming; discrete-time constrained quadratic control; linear matrix inequalities; state feedback controller; transition probability; Control systems; Costs; Integrated circuit modeling; Linear systems; Optimal control; Quadratic programming; State feedback; Stochastic systems; Uncertain systems; Uncertainty;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1996., Proceedings of the 35th IEEE Conference on

Conference_Location

Kobe

ISSN

0191-2216

Print_ISBN

0-7803-3590-2

Type

conf

DOI

10.1109/CDC.1996.572818

Filename

572818