Control and filtering of stochastic systems

• Grant number: 13/19380-8
• Support Opportunities: Regular Research Grants
• Start date: December 01, 2013
• End date: January 31, 2016
• Field of knowledge: Engineering - Electrical Engineering - Industrial Electronics, Electronic Systems and Controls
• Principal Investigator: Eduardo Fontoura Costa
• Grantee: Eduardo Fontoura Costa
• Host Institution: Instituto de Ciências Matemáticas e de Computação (ICMC). Universidade de São Paulo (USP). São Carlos , SP, Brazil

Abstract

This research deals with stochastic systems with a clear emphasis on linear systems with Markov jump parameters and some of their applications. The research topics presented here are in different stages of development, many of them have started in the last one or two years and some will start soon, as described in the text. The work will be conducted mainly by our team at ICMC-USP, with collaboration of teams of different universities in Brazil and abroad. The research topics fall into four main categories: system structure, Kalman filtering, long run average cost and applications. (AU)

Scientific publications

(9)

(References retrieved automatically from Web of Science and SciELO through information on FAPESP grants and their corresponding numbers as mentioned in the publications by the authors)

DRAGAN, VASILE; COSTA, EDUARDO F.. Optimal Stationary Dynamic Output-Feedback Controllers for Discrete-Time Linear Systems With Markovian Jumping Parameters and Additive White Noise Perturbations. IEEE Transactions on Automatic Control, v. 61, n. 12, p. 3912-3924, DEC 2016. (13/19380-8)

CHAVEZ-FUENTES, JORGE R.; MAYTA, JORGE E.; COSTA, EDUARDO F.; TERRA, MARCO H.. Stochastic and exponential stability of discrete-time Markov jump linear singular systems. SYSTEMS & CONTROL LETTERS, v. 107, p. 92-99, SEP 2017. (14/08432-0, 13/19380-8)

NARVAEZ, ALFREDO R. R.; COSTA, EDUARDO F.. AVERAGE REACHABILITY OF CONTINUOUS-TIME MARKOV JUMP LINEAR SYSTEMS AND THE LINEAR MINIMUM MEAN SQUARE ESTIMATOR. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, v. 54, n. 4, p. 2063-2089, 2016. (13/19380-8, 10/12360-3)

OLIVEIRA, R. M.; HELOU, E. S.; COSTA, E. F.. String-averaging incremental stochastic subgradient algorithms. OPTIMIZATION METHODS & SOFTWARE, v. 34, n. 3, p. 665-692, MAY 4 2019. (15/10171-2, 13/19380-8, 13/07375-0, 13/16508-3, 17/20934-9)

DE SAPORTA, BENOITE; COSTA, EDUARDO F.. Approximate Kalman-Bucy Filter for Continuous-Time Semi-Markov Jump Linear Systems. IEEE Transactions on Automatic Control, v. 61, n. 8, p. 2035-2048, AUG 2016. (13/19380-8)

DE OLIVEIRA, RAFAEL MASSAMBONE; HELOU, ELIAS SALOMAO; COSTA, EDUARDO FONTOURA. String-averaging incremental subgradients for constrained convex optimization with applications to reconstruction of tomographic images. INVERSE PROBLEMS, v. 32, n. 11, NOV 2016. (13/07375-0, 15/10171-2, 13/19380-8, 13/16508-3)

NARVAEZ, ALFREDO R. R.; COSTA, EDUARDO F.; IEEE. Average Reachability of continuous-time Markov Jump Linear Systems and Linear Markovian State Observers. 2017 IEEE 56TH ANNUAL CONFERENCE ON DECISION AND CONTROL (CDC), v. N/A, p. 6-pg., 2017-01-01. (13/19380-8)

CHAVEZ-FUENTES, JORGE R.; COSTA, EDUARDO F.; MAYTA, JORGE E.; TERRA, MARCO H.. Regularity and stability analysis of discrete-time Markov jump linear singular systems. AUTOMATICA, v. 76, p. 32-40, FEB 2017. (13/19380-8, 12/08106-0)

GUTIERREZ-PACHAS, DANIEL A.; COSTA, EDUARDO F.. On the Linear Quadratic Problem for Systems With Time-Reversed Markov Jump Parameters and the Duality With Filtering of Markov Jump Linear Systems. IEEE Transactions on Automatic Control, v. 63, n. 9, p. 3040-3045, SEP 2018. (13/19380-8)