Linear Quadratic Control Problem of Systems With Markov Jumps in Reverse Time and Observation With Anticipation of the Jumps

• 成果类型: Article
• 署名作者: Gutierrez-Pachas, Daniel A.; Costa, Eduardo F.; Vargas, Alessandro N.
• 署名单位: Universidad Catolica San Pablo; Universidade de Sao Paulo; Universidade Tecnologica Federal do Parana
• 刊物名称: IEEE TRANSACTIONS ON AUTOMATIC CONTROL
• ISSN/ISSBN: 0018-9286
• DOI: 10.1109/TAC.2023.3312141
• 发表日期: 2024
• 页码: 2469-2475
• 关键词: Markov processes; Milling machines; computational modeling; transient analysis; Time-varying systems; Technological innovation; Surveys; control design; Linear systems; Stochastic systems

摘要

This article studies the linear-quadratic optimal control of linear systems with jump parameters driven by a Markov chain in reverse-time, anticipative observation of the jump variable, and exogenous inputs. This type of problem appears, for example, when a system with Markov jumps interacts with a first-in last-out queue, as illustrated in different contexts in this article. The solution is given in terms of precomputable, coupled Riccati equations, and the number of variables depends on the information structure, making it easier to compute and implement when more information is available. Numerical experiments illustrate applications and indicate that the optimal controller outperforms other controllers.