Ghosh, M. K. ; Arapostathis, A. ; Marcus, S. I. (1995) A note on an LQG regulator with Markovian switching and pathwise average cost IEEE Transactions on Automatic Control, 40 (11). pp. 1919-1921. ISSN 0018-9286
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Official URL: http://ieeexplore.ieee.org/xpls/abs_all.jsp?arnumb...
Related URL: http://dx.doi.org/10.1109/9.471215
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.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to IEEE. |
| ID Code: | 72605 |
| Deposited On: | 29 Nov 2011 04:33 |
| Last Modified: | 29 Nov 2011 04:33 |
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