Paper Info
Title
A note on an LQG regulator with Markovian switching and pathwise average cost
Abstract
We study a linear system with a Markovian switching parameter perturbed by white noise. The cost function is quadratic. Under certain conditions, we find a linear feedback control which is almost surely optimal for the pathwise average cost over the infinite planning horizon. 1. Introduction. We study a parameterized linear system perturbed by white noise. The parameters are randomly switching from one state to the other and are modelled as a finite state Markov chain; the values of the parameter and the state of the linear system are assumed to be known to the controller. The objective is to minimize a quadratic cost over the infinite planning horizon. Such dynamics arise quite often in numerous applications involving systems with multiple modes or failure modes, such as fault tolerant control systems, multiple target tracking, flexible manufacturing systems, etc. (3), (4), (9).
Year
DOI
Venue
1995
10.1109/9.471215
IEEE Transactions on Automatic Control
Keywords
DocType
Volume
Regulators,Riccati equations,Linear systems,White noise,Cost function,Optimal control,Dynamic programming,Control systems,Feedback control,Path planning
Journal
40
Issue
ISSN
Citations 
11
0018-9286
5
PageRank 
References 
Authors
0.66
0
3
Name
Order
Citations
PageRank
Mrinal K. Ghosh1289.78
Aristotle Arapostathis2489.16
Steven I. Marcus3889116.89