Optimal Stabilization of Linear Stochastic System with Statistically Uncertain Piecewise Constant Drift

Optimal Stabilization of Linear Stochastic System with Statistically Uncertain Piecewise Constant Drift

The paper presents an optimal control problem for the partially observable stochastic differential system driven by an external Markov jump process. The available controlled observations are indirect and corrupted by some Wiener noise. The goal is to optimize a linear function of the state (output)...

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Bibliographic Details
Main Authors: Andrey Borisov, Alexey Bosov, Gregory Miller
Format: Article
Language:English
Published: MDPI AG 2022-01-01
Series:Mathematics
Subjects:
Markov jump process
Itô stochastic differential equation
optimal control
quadratic criterion
stochastic filtering
Wonham filter
Online Access:https://www.mdpi.com/2227-7390/10/2/184

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