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

Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems

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Author(s):
Costa‚ O.L.V. ; de Paulo‚ W.L.
Total Authors: 2
Document type: Journal article
Source: AUTOMATICA; v. 43, n. 4, p. 587-597, 2007.
Abstract

In this paper we consider the stochastic optimal control problem of discrete-time Markov jump with multiplicative noise linear systems. The performance criterion is assumed to be formed by a linear combination of a quadratic part and a linear part in the state and control variables. The weighting matrices of the state and control for the quadratic part are allowed to be indefinite. We present a necessary and sufficient condition under which the problem is well posed and a state feedback solution can be derived from a set of coupled generalized Riccati difference equations interconnected with a set of coupled linear recursive equations. For the case in which the quadratic-term matrices are non-negative, this necessary and sufficient condition can be written in a more explicit way. The results are applied to a problem of portfolio optimization. (C) 2007 Elsevier Ltd. All rights reserved. (AU)

FAPESP's process: 03/06736-7 - Control and filtering of Markovian jumping parameters stochastic systems
Grantee:João Bosco Ribeiro do Val
Support Opportunities: Research Projects - Thematic Grants