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(Reference retrieved automatically from Web of Science through information on FAPESP grant and its corresponding number as mentioned in the publication by the authors.)

On the Linear Quadratic Problem for Systems With Time-Reversed Markov Jump Parameters and the Duality With Filtering of Markov Jump Linear Systems

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Author(s):
Gutierrez-Pachas, Daniel A. [1] ; Costa, Eduardo F. [1]
Total Authors: 2
Affiliation:
[1] Univ Sao Paulo, Inst Ciencias Matemat & Comp, BR-13560970 Sao Carlos, SP - Brazil
Total Affiliations: 1
Document type: Journal article
Source: IEEE Transactions on Automatic Control; v. 63, n. 9, p. 3040-3045, SEP 2018.
Web of Science Citations: 1
Abstract

We study a class of systems whose parameters are driven by a Markov chain in reverse time. A recursive characterization for the second moment matrix and the formulas for optimal control are given. Our results are determining the answer for the question: Is it possible to extend the classical duality between filtering and control of linear systems (whose matrices are transposed in the dual problem) by simply adding the jump variable of a Markov jump linear system? The answer is positive provided the jump process is reversed in time. (AU)

FAPESP's process: 13/19380-8 - Control and filtering of stochastic systems
Grantee:Eduardo Fontoura Costa
Support Opportunities: Regular Research Grants