H-2-control and the separation principle for discrete-time Markovian jump linear systems

Autor(es)

Costa, O. L. V. ; Tuesta, E. F.

• Tipo de documento: Artigo Científico
• Fonte: Mathematics of Control, Signals, and Systems (MCSS); v. 16, n. 4, p. 320-350, Mar. 2004.
• Área do conhecimento: Engenharias - Engenharia Elétrica
• Assunto(s): Sistemas lineares

Resumo

In this paper we consider the H-2-control problem of discrete-time Markovian jump linear systems. We assume that only an output and the jump parameters are available to the controller. It is desired to design a dynamic Markovian jump controller such that the closed-loop system is mean square stable and minimizes the H-2-norm of the system. As in the case with no jumps, we show that an optimal controller can be obtained from two sets of coupled algebraic Riccati equations, one associated with the optimal control problem when the state variable is available, and the other associated with the optimal filtering problem. This is the principle of separation for discrete-time Markovian jump linear systems. When there is only one mode of operation our results coincide with the traditional separation principle for the H-2-control of discrete-time linear systems. (AU)

• Processo FAPESP: 97/04668-1 - Controle de sistemas com dinâmica sujeita a incertezas
• Beneficiário: Oswaldo Luiz Do Valle Costa
• Modalidade de apoio: Auxílio à Pesquisa - Temático