Perturbation of multivariable linear quadratic systems with jump parameters

Citation
R. El Azouzi et al., Perturbation of multivariable linear quadratic systems with jump parameters, IEEE AUTO C, 46(10), 2001, pp. 1666-1671
Citations number
8
Categorie Soggetti
AI Robotics and Automatic Control
Journal title
IEEE TRANSACTIONS ON AUTOMATIC CONTROL
ISSN journal
00189286 → ACNP
Volume
46
Issue
10
Year of publication
2001
Pages
1666 - 1671
Database
ISI
SICI code
0018-9286(200110)46:10<1666:POMLQS>2.0.ZU;2-#
Abstract
We consider the problem of the perturbation of a class of linear-quadratic systems where the change from one structure (for the dynamics and costs) to another is governed by a finite-state Markov process. The problem above le ads to the analysis of some perturbed linearly coupled set of Riccati equat ions. We show that the matrix obtained as the solution of the equations, wh ich determines the optimal value and control, has a Taylor expansion in the perturbation parameter. We compute explicitly the terms of this expansion.