On the continuous time-varying JLQG

Adam Czornik; Andrzej Świerniak

doi:10.1016/j.jfranklin.2003.12.013

On the continuous time-varying JLQG

Wyniki badań: Wkład do czasopisma › Artykuł › recenzja

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Abstrakt

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.

Język oryginału	angielski
Strony (od–do)	309-323
Liczba stron	15
Czasopismo	Journal of the Franklin Institute
Tom	341
Numer wydania	4
Identyfikatory DOI	https://doi.org/10.1016/j.jfranklin.2003.12.013
Status publikacji	Opublikowano - lip 2004

Obszary tematyczne ASJC Scopus

Inżynieria sterowania i systemów
Przetwarzanie sygnałów
Sieci komputerowe i komunikacja
Matematyka stosowana

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10.1016/j.jfranklin.2003.12.013

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Cytowanie

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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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T1 - On the continuous time-varying JLQG

AU - Czornik, Adam

AU - Świerniak, Andrzej

PY - 2004/7

Y1 - 2004/7

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

Abstrakt

Obszary tematyczne ASJC Scopus

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