On the continuous time-varying JLQG

Adam Czornik; Andrzej Świerniak

doi:10.1016/j.jfranklin.2003.12.013

On the continuous time-varying JLQG

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Abstract

In this paper, the optimal control law for the continuous infinite time-varying stochastic control system with jumps and quadratic cost is found under the assumption that the coefficient have limits as time tends to infinity and the boundary system is absolutely observable and stabilizable. In addition, the asymptotic properties of the solution of the differential Riccati equations for continuous time Markovian jump linear quadratic control problem with time-varying coefficient are established.

Original language	English
Pages (from-to)	309-323
Number of pages	15
Journal	Journal of the Franklin Institute
Volume	341
Issue number	4
DOIs	https://doi.org/10.1016/j.jfranklin.2003.12.013
Publication status	Published - Jul 2004

Keywords

JLQ problem
Jump linear system
Time-varying system

ASJC Scopus subject areas

Control and Systems Engineering
Signal Processing
Computer Networks and Communications
Applied Mathematics

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10.1016/j.jfranklin.2003.12.013

Cite this

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title = "On the continuous time-varying JLQG",

abstract = "In this paper, the optimal control law for the continuous infinite time-varying stochastic control system with jumps and quadratic cost is found under the assumption that the coefficient have limits as time tends to infinity and the boundary system is absolutely observable and stabilizable. In addition, the asymptotic properties of the solution of the differential Riccati equations for continuous time Markovian jump linear quadratic control problem with time-varying coefficient are established.",

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author = "Adam Czornik and Andrzej {\'S}wierniak",

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AU - Czornik, Adam

AU - Świerniak, Andrzej

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N2 - In this paper, the optimal control law for the continuous infinite time-varying stochastic control system with jumps and quadratic cost is found under the assumption that the coefficient have limits as time tends to infinity and the boundary system is absolutely observable and stabilizable. In addition, the asymptotic properties of the solution of the differential Riccati equations for continuous time Markovian jump linear quadratic control problem with time-varying coefficient are established.

AB - In this paper, the optimal control law for the continuous infinite time-varying stochastic control system with jumps and quadratic cost is found under the assumption that the coefficient have limits as time tends to infinity and the boundary system is absolutely observable and stabilizable. In addition, the asymptotic properties of the solution of the differential Riccati equations for continuous time Markovian jump linear quadratic control problem with time-varying coefficient are established.

KW - JLQ problem

KW - Jump linear system

KW - Time-varying system

UR - https://www.scopus.com/pages/publications/2542435198

U2 - 10.1016/j.jfranklin.2003.12.013

DO - 10.1016/j.jfranklin.2003.12.013

M3 - Article

AN - SCOPUS:2542435198

SN - 0016-0032

VL - 341

SP - 309

EP - 323

JO - Journal of the Franklin Institute

JF - Journal of the Franklin Institute

IS - 4

ER -

On the continuous time-varying JLQG

Abstract

Keywords

ASJC Scopus subject areas

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