A numerical method for the long-term average cost problem for linear systems with jumping parameters and partial observation of the Markov chain

• Grant number: 12/14085-5
• Support Opportunities: Scholarships in Brazil - Master
• Start date: October 01, 2012
• End date: February 28, 2014
• Field of knowledge: Engineering - Electrical Engineering - Industrial Electronics, Electronic Systems and Controls
• Principal Investigator: Eduardo Fontoura Costa
• Grantee: Larissa Tebaldi de Oliveira
• Host Institution: Instituto de Ciências Matemáticas e de Computação (ICMC). Universidade de São Paulo (USP). São Carlos , SP, Brazil

Abstract

This work aims to study and adapt numerical methods for Markov jump linear systems. This is an important class of systems that provide useful models for applications featuring abrupt changes of behavior. Moreover, there are several strong results available in literature, that resemble the ones of standard deterministic linear systems. In this work we focus on an adaptation of the classical variational method: instead of updating the gains stage by stage, we propose to update them in groups of stages, and to study the influence in terms of the computational performance. We will also look into the implementation of a biquadratic method for the gain update. (AU)

Academic Publications

(References retrieved automatically from State of São Paulo Research Institutions)

OLIVEIRA, Larissa Tebaldi de. Variational method with multiple gains update for control of linear systems with parameters subject to unobserved Markov jump. 2014. Master's Dissertation - Universidade de São Paulo (USP). Instituto de Ciências Matemáticas e de Computação (ICMC/SB) São Carlos.