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Type: Artigo de periódico
Title: Solutions for the linear-quadratic control problem of Markov jump linear systems
Author: do Val, JBR
Geromel, JC
Costa, OLV
Abstract: The paper is concerned with recursive methods for obtaining the stabilizing solution of coupled algebraic Riccati equations arising in the linear-quadratic control of Markovian jump linear systems by solving at each iteration uncoupled algebraic Riccati equations. It is shown that the new updates carried out at each iteration represent approximations of the original control problem by control problems with receding horizon, for which some sequences of stopping times define the terminal time. Under this approach, unlike previous results, no initialization conditions are required to guarantee the convergence of the algorithms. The methods can be ordered in terms of number of iterations to reach convergence, and comparisons with existing methods in the current literature are also presented. Also, we extend and generalize current results in the literature for the existence of the mean-square stabilizing solution of coupled algebraic Riccati equations.
Subject: linear-quadratic control
Markov jump linear systems
nonstandard Riccati equation
stopping time problems
Country: EUA
Editor: Kluwer Academic/plenum Publ
Rights: fechado
Identifier DOI: 10.1023/A:1021748618305
Date Issue: 1999
Appears in Collections:Artigos e Materiais de Revistas Científicas - Unicamp

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