Autor(es)

Narvaez, Alfredo R. R. ^[1] ; Costa, Eduardo F. ^[2]

Afiliação do(s) autor(es)

^[1] Univ Atlantico, Fac Ciencias Basicas, Puerto Colombia 081007 - Colombia

^[2] Univ Sao Paulo, Inst Ciencias Matemat Computacao, Dept Matemat Aplicada & Estat, Sao Carlos 13560970 - Brazil

• Tipo de documento: Artigo Científico
• Fonte: IEEE Transactions on Automatic Control; v. 65, n. 5, p. 2265-2271, MAY 2020.
• Citações Web of Science: 0

Resumo

This note introduces continuous-time linear systems with switching parameters driven by a Markov chain running in reverse time. Reversibility of the chain is not imposed, so the system cannot be recast as standard Markov jump linear systems (MJLS), demanding for a specific study. We develop the operator-based approach, which is elaborate in view of possible multiplicity of solutions for the second moment variable, as detailed in this note. We also study the optimal quadratic control problem based on Hamilton-Jacobi-Bellman equations and standard dynamic programming. The control solution is given in terms of a coupled Riccati equation that is harmonious with filtering of MJLS, which allows us to generalize the classic control-filtering duality for linear time varying systems. (AU)

• Processo FAPESP: 13/07375-0 - CeMEAI - Centro de Ciências Matemáticas Aplicadas à Indústria
• Beneficiário: Francisco Louzada Neto
• Modalidade de apoio: Auxílio à Pesquisa - Centros de Pesquisa, Inovação e Difusão - CEPIDs
• Processo FAPESP: 17/20934-9 - Filtragem e controle de sistemas com saltos nos parâmetros
• Beneficiário: Eduardo Fontoura Costa
• Modalidade de apoio: Auxílio à Pesquisa - Regular