Accession Number:

ADA453008

Title:

A Note on an LQG Regulator With Markovian Switching and Pathwise Average Cost

Descriptive Note:

Technical research rept.

Corporate Author:

MARYLAND UNIV COLLEGE PARK INST FOR SYSTEMS RESEARCH

Report Date:

1994-01-01

Pagination or Media Count:

9.0

Abstract:

We study a linear system with a Markovian switching parameter perturbed by white noise. The cost function is quadratic. Under certain conditions, we find a linear feedback control which is almost surely optimal for the path wise average cost over the infinite planning horizon.

Subject Categories:

  • Statistics and Probability
  • Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE