Title :
A note on an LQG regulator with Markovian switching and pathwise average cost
Author :
Ghosh, Mrinal K. ; Arapostathis, Ari ; Marcus, Steven I.
Author_Institution :
Dept. of Math., Indian Inst. of Sci., Bangalore
fDate :
11/1/1995 12:00:00 AM
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
Keywords :
Markov processes; feedback; linear quadratic Gaussian control; white noise; LQG regulator; Markovian switching parameter; infinite planning horizon; linear feedback control; pathwise average cost; quadratic cost function; white noise; Control systems; Cost function; Dynamic programming; Feedback control; Linear systems; Optimal control; Path planning; Regulators; Riccati equations; White noise;
Journal_Title :
Automatic Control, IEEE Transactions on
