Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise
Author:
Affiliation:
1. a Departamento de Engenharia de Telecomunicações e Controle , Escola Politécnica da Universidade de São Paulo, CEP , São Paulo, SP, Brazil
Publisher
Informa UK Limited
Subject
Computer Science Applications,Control and Systems Engineering
Link
https://www.tandfonline.com/doi/pdf/10.1080/00207170802050825
Reference34 articles.
1. Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
2. Discrete-Time Optimal Control with Control-Dependent Noise and Generalized Riccati Difference Equations
3. Delay-dependent stabilization of singularly perturbed jump linear systems
4. Portfolio optimization in stochastic markets
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1. Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises;International Journal of Systems Science;2018-02-28
2. Recursive Robust Regulator for Discrete-Time Markovian Jump Linear Systems;IEEE Transactions on Automatic Control;2017-11
3. Model predictive control for stochastic systems with Markovian jumps and serially correlated parameters under constraints;Vestnik Tomskogo gosudarstvennogo universiteta. Upravlenie, vychislitel'naya tekhnika i informatika;2017-09-01
4. Model predictive control with quadratic criterion for jump Markov discrete linear systems under constraints;Vestnik Tomskogo gosudarstvennogo universiteta. Upravlenie, vychislitel'naya tekhnika i informatika;2016-03-01
5. Model Predictive Control for Nonlinear Stochastic Systems with Markovian Jumps under Constraints;Vestnik Tomskogo gosudarstvennogo universiteta. Upravlenie, vychislitel'naya tekhnika i informatika;2015-09-01
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