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A computational method for a class of jump linear quadratic systems

Published online by Cambridge University Press:  17 February 2009

K. H. Wong ,
N. Lock  and
K. Kaji
K. Kaji
Affiliation:
Dept of Computational and Applied Math., Univ. of the Witwatersrand, Johannesberg, South Africa.
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Abstract

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A class of linear systems subject to sudden jumps in parameter values is considered. To solve this class of stochastic control problem, we try to seek the best feedback control law depending only on the measurable output. Based on this idea, we convert the original problem into an approximate constrained deterministic optimization problem, which can be easily solved by any existing nonlinear programming technique. An example is solved to illustrate the efficiency of the method.

Type
Research Article
Information
The ANZIAM Journal , Volume 36 , Issue 4 , April 1995 , pp. 414 - 423
Copyright
Copyright © Australian Mathematical Society 1995

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