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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Chizeck, H.J. Ji, Y. |
| Copyright Year | 1988 |
| Description | Author affiliation: Case Western Reserve Univ., Cleveland, OH, USA (Chizeck, H.J.; Ji, Y.) |
| Abstract | An optimal discrete-time jump linear quadratic Gaussian (JLQG) control problem is investigated. The system to be controlled is linear, except for randomly jumping parameters which obey a discrete-time finite-state Markov process. A quadratic expected cost is minimized, for systems subject to additive Gaussian input and measurement noise. It is assumed that the system structure (i.e. jumping parameters) is known at each time. A separation property enables the authors to design the optimal JLQ controller and optimal x-state estimator separately. Based on the appropriate controllability and observability properties for discrete-time jump linear systems, the infinite-time-horizon JLQG problem is solved. The optimal infinite-time-horizon JLQG compensator has a steady-state control law but does not have a steady-state filter. A suboptimal JLQG compensator, using a filter which converges to a steady-state filter, is then constructed.< |
| Starting Page | 1989 |
| Ending Page | 1993 |
| File Size | 298125 |
| Page Count | 5 |
| File Format | |
| DOI | 10.1109/CDC.1988.194681 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 1988-12-07 |
| Access Restriction | Subscribed |
| Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Subject Keyword | Optimal control Control systems Linear systems Steady-state Filters Additive noise Markov processes Costs Noise measurement Gaussian noise |
| Content Type | Text |
| Resource Type | Article |
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