On the continuous time-varying JLQG |
| |
| Authors: | Adam Czornik Andrzej ?wierniak |
| |
| Institution: | Department of Automatic Control, Silesian Technical University, ul. Akademicka 16, Gliwice 44-101, Poland |
| |
| Abstract: | In this paper, the optimal control law for the continuous infinite time-varying stochastic control system with jumps and quadratic cost is found under the assumption that the coefficient have limits as time tends to infinity and the boundary system is absolutely observable and stabilizable. In addition, the asymptotic properties of the solution of the differential Riccati equations for continuous time Markovian jump linear quadratic control problem with time-varying coefficient are established. |
| |
| Keywords: | JLQ problem Time-varying system Jump linear system |
| 本文献已被 ScienceDirect 等数据库收录！ |
