کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
698547 | 890415 | 2007 | 11 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems](/preview/png/698547.png)
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.
Journal: Automatica - Volume 43, Issue 4, April 2007, Pages 587–597