Stochastic stability and optimal control for a class of continuous-time Markov jump linear systems with horizon defined by a stopping time.
Cristiane NespoliYusef CaceresPublished in: CDC (2013)
Keyphrases
- optimal control
- linear systems
- optimal control problems
- lyapunov function
- control theory
- control problems
- sufficient conditions
- brownian motion
- markov chain
- dynamical systems
- dynamic programming
- feedback control
- control strategy
- reinforcement learning
- markov processes
- stochastic control
- infinite horizon
- control law
- linear quadratic
- stochastic process
- sparse linear systems
- numerical solution
- production planning
- linear matrix inequality
- coefficient matrix
- interior point methods
- linear programming