Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/100781
Type: Artigo de periódico
Title: Uncoupled Riccati Iterations For The Linear Quadratic Control Problem Of Discrete-time Markov Jump Linear Systems
Author: Do Val J.B.R.
Geromel J.C.
Costa O.L.V.
Abstract: This paper deals with recursive methods for solving coupled Riccati equations arising in the linear quadratic control for Markovian jump linear systems. Two algorithms, based on solving uncoupled Riccati equations at each iteration, are presented. The standard method for this problem relies on finite stage approximations with receding horizon, whereas the methods presented here are based on sequences of stopping times to define the terminal time of the approximating control problems. The methods can be ordered in terms of rate of convergence. Comparisons with other methods in the current literature are also presented.
Editor: 
Rights: fechado
Identifier DOI: 10.1109/9.736071
Address: http://www.scopus.com/inward/record.url?eid=2-s2.0-0032290544&partnerID=40&md5=a4992296715e7cb25a489bbc381f1e97
Date Issue: 1998
Appears in Collections:Unicamp - Artigos e Outros Documentos

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