Infinite-horizon Linear Optimal Control of Markov Jump Systems without Mode Observation via State Feedback
For control engineers, it provides a method for optimal control when mode information is unavailable, but the contribution is incremental as it extends existing linear control techniques to a specific unobserved mode scenario.
This paper addresses optimal control of Markov Jump Linear Systems where the mode is unobserved, using a linear state-feedback controller with constant gains derived from an iterative algorithm. The approach is validated on a numerical example.
In this paper, we consider stochastic optimal control of Markov Jump Linear Systems with state feedback but without observation of the jumping parameter. The proposed control law is assumed to be linear with constant gains that can be obtained from the necessary optimality conditions using an iterative algorithm. The proposed approach is demonstrated in a numerical example.