A NOTE ON AN LQG REGULATOR WITH MARKOVIAN SWITCHING AND PATHWISE AVERAGE COST

Authors
GHOSH MK ARAPOSTATHIS A MARCUS SI
Citation
Mk. Ghosh et al., A NOTE ON AN LQG REGULATOR WITH MARKOVIAN SWITCHING AND PATHWISE AVERAGE COST, IEEE transactions on automatic control, 40(11), 1995, pp. 1919-1921
Citations number
11
Categorie Soggetti
Controlo Theory & Cybernetics","Robotics & Automatic Control","Engineering, Eletrical & Electronic
Journal title
IEEE transactions on automatic control → ACNP
ISSN journal
00189286
Volume
40
Issue
11
Year of publication
1995
Pages
1919 - 1921
Database
ISI
SICI code
0018-9286(1995)40:11<1919:ANOALR>2.0.ZU;2-M
Abstract
We study a linear system with a Markovian switching parameter perturbe d by white noise. The cost function is quadratic. Under certain condit ions, we find a linear feedback control which is almost surely optimal for the pathwise average cost over the infinite planning horizon.