Jump linear quadratic regulator with controlled jump rates

Deals with the class of continuous-time linear systems with Markovian jumps. We assume that jump rates are controlled. Our purpose is to study the jump linear quadratic (JLQ) regulator of the class of systems. The structure of the optimal controller is established. For a one-dimensional (1-D) system...

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Veröffentlicht in:	IEEE transactions on automatic control 2001-02, Vol.46 (2), p.301-305
Hauptverfasser:	Boukas, E.K., Liu, Z.K.
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Automatic control Hybrid power systems Linear quadratic Linear quadratic regulator Linear systems Manufacturing systems Markov processes Mechanical variables control Optimal control Optimization Power system economics Power system modeling Regulators Riccati equation Riccati equations
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Beschreibung
Zusammenfassung:	Deals with the class of continuous-time linear systems with Markovian jumps. We assume that jump rates are controlled. Our purpose is to study the jump linear quadratic (JLQ) regulator of the class of systems. The structure of the optimal controller is established. For a one-dimensional (1-D) system, an algorithm for solving the corresponding set of coupled Riccati equations of this optimal control problem is provided. Two numerical examples are given to show the usefulness of our results.
ISSN:	0018-9286 1558-2523
DOI:	10.1109/9.905698