Open AccessRobust LQR for time-inhomogeneous Markov jump switched linear systems
Author(s) -
Yuriy Zacchia Lun,
Alessandro D’Innocenzo,
Maria Domenica Di Benedetto
Publication year - 2017
Publication title -
ifac-papersonline
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.308
H-Index - 72
eISSN - 2405-8971
pISSN - 2405-8963
DOI - 10.1016/j.ifacol.2017.08.281
Subject(s) - discrete time and continuous time , control theory (sociology) , markov chain , markov decision process , markov process , linear system , jump , mathematics , set (abstract data type) , class (philosophy) , computer science , mathematical optimization , control (management) , mathematical analysis , physics , statistics , artificial intelligence , programming language , quantum mechanics
Markov jump switched linear systems (MJSLSs) are switched linear systems, where a switching signal is governed by a Markov decision process. We consider a polytopic time-inhomogeneous setting, where the transition probabilities (between the operational modes of the system) associated to each discrete action are varying over time, with variations that are arbitrary within a polytopic set. We present and solve for this class of systems the finite horizon optimal control problem.
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