Jump linear quadratic regulator with controlled jump rates

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2001 Canada Publisher:Institute of Electrical and Electronics Engineers (IEEE)Journal:IEEE Transactions on Automatic Control, volume 46, pages 301-305 (issn: 0018-9286,

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Authors: El Kébir Boukas; Zikuan Liu;

doi: 10.1109/9.905698

Jump linear quadratic regulator with controlled jump rates

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Abstract

Summary: This note deals with the class of continuous-time linear systems with Markovian jumps. We assume that the jump rates are controlled. Our purpose is to study the jump linear quadratic regulator for this class of systems. The structure of the optimal controller is established. For a one-dimensional system, an algorithm for solving the corresponding set of coupled Riccati equations is provided. Two numerical examples are given to show the usefulness of our results.

Country

Canada

Related Organizations

Polytechnique Montréal
Canada
École Normale Supérieure
France

Keywords

Linear-quadratic optimal control problems, Optimal stochastic control

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