Gupta, Vijay and Murray, Richard M. and Hassibi, Babak (2003) On the control of jump linear Markov systems with Markov state estimation. In: Proceedings of the 2003 American Control Conference, 2003. Vol.4. IEEE , Piscataway, NJ, pp. 2893-2898. ISBN 0-7803-7896-2. https://resolver.caltech.edu/CaltechAUTHORS:20150211-075328058
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Abstract
We analyze a jump linear Markov system being stabilized using a linear controller. We consider the case when the Markov state is associated with the probability distribution of a measured variable. We assume that the Markov state is not known, but rather is being estimated based on the observations of the variable. We present conditions for the stability of such a system and also solve the optimal LQR control problem for the case when the state estimate update uses only the last observation value. In particular we consider a suboptimal version of the casual Viterbi estimation algorithm and show that a separation property does not hold between the optimal control and the Markov state estimate. Some simple examples are also presented.
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| Additional Information: | © 2003 IEEE. The authors would like to thank Abhishek Tiwari, Lun Li and Timothy Chung for discussions on this topic. Research supported in part by the AFOSR grant F49620-01-1-0460. | |||||||||
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| DOI: | 10.1109/ACC.2003.1243762 | |||||||||
| Record Number: | CaltechAUTHORS:20150211-075328058 | |||||||||
| Persistent URL: | https://resolver.caltech.edu/CaltechAUTHORS:20150211-075328058 | |||||||||
| Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. | |||||||||
| ID Code: | 54685 | |||||||||
| Collection: | CaltechAUTHORS | |||||||||
| Deposited By: | Shirley Slattery | |||||||||
| Deposited On: | 13 Feb 2015 18:52 | |||||||||
| Last Modified: | 10 Nov 2021 20:36 |
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