Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/94361
Type: Artigo de evento
Title: The Lq Control Problem For Markovian Jumps Linear Systems With Horizon Defined By Stopping Times
Author: Nespoli C.
Do Val J.B.R.
Caceres Y.
Abstract: This paper deals with a stochastic optimal control problem involving discrete-time jump Markov linear systems. The jumps or changes between the system operation modes evolve according to an underlying Markov chain. In the model studied, the problem horizon is defined by a stopping time τ which represents either, the occurrence of a fix number N of failures or repairs (TN), or the occurrence of a crucial failure event (τΔ), after which the system is brought to a halt for maintenance. In addition, an intermediary mixed case for which T represents the minimum between TN and τΔ is also considered. These stopping times coincide with some of the jump times of the Markov state and the information available allows the reconfiguration of the control action at each jump time, in the form of a linear feedback gain. The solution for the linear quadratic problem with complete Markov state observation is presented. The solution is given in terms of recursions of a set of algebraic Riccati equations (ARE) or a coupled set of algebraic Riccati equation (CARE).
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Rights: fechado
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Address: http://www.scopus.com/inward/record.url?eid=2-s2.0-8744270440&partnerID=40&md5=7f63314386f74bb2790ee3a392a2dfaa
Date Issue: 2004
Appears in Collections:Unicamp - Artigos e Outros Documentos

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