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

Autor(es)

Gutierrez-Pachas, Daniel A. ^[1] ; Costa, Eduardo F. ^[1]

Afiliação do(s) autor(es)

^[1] Univ Sao Paulo, Inst Ciencias Matemat & Comp, BR-13560970 Sao Carlos, SP - Brazil

• Tipo de documento: Artigo Científico
• Fonte: IEEE Transactions on Automatic Control; v. 63, n. 9, p. 3040-3045, SEP 2018.
• Citações Web of Science: 1

Resumo

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)

• Processo FAPESP: 13/19380-8 - Controle e filtragem de sistemas estocásticos
• Beneficiário: Eduardo Fontoura Costa
• Modalidade de apoio: Auxílio à Pesquisa - Regular