| Full text | |
| 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 |