Pareto-optimal solutions for Markov jump stochastic systems with delay

Author

Mukaidani, Hiroaki ; Unno, Masaru ; Hua Xu ; Dragan, Vasile

Author_Institution

Inst. of Eng., Hiroshima Univ., Higashi-Hiroshima, Japan

fYear

2013

fDate

17-19 June 2013

Firstpage

4660

Lastpage

4665

Abstract

Pareto-optimal solutions for a class of general class of stochastic systems with both Markovian jumping parameters and time-delay are studied by introducing a linear matrix inequality (LMI) approach. In order to obtain a strategy set, new cross-coupled stochastic algebraic equations (CSAEs) are derived based on Karush-Kuhn-Tucker (KKT) conditions as necessary conditions. Furthermore, it is shown that the state feedback strategies can be obtained by solving LMIs. Finally, a numerical example is detailed that shows the effectiveness of the proposed methods.

Keywords

Pareto optimisation; algebra; delay systems; linear matrix inequalities; state feedback; stochastic systems; CSAE; KKT condition; Karush-Kuhn-Tucker condition; LMI; Markov jump stochastic system; Markovian jumping parameter; Pareto-optimal solution; cross-coupled stochastic algebraic equation; linear matrix inequality; state feedback strategy; strategy set; time-delay; Cost function; Delay systems; Equations; Linear matrix inequalities; Markov processes; Stochastic systems; Symmetric matrices;

fLanguage

English

Publisher

ieee

Conference_Titel

American Control Conference (ACC), 2013

Conference_Location

Washington, DC

ISSN

0743-1619

Print_ISBN

978-1-4799-0177-7

Type

conf

DOI

10.1109/ACC.2013.6580558

Filename

6580558