A Note on an LQG Regulator With Markovian Switching and Pathwise Average Cost
MARYLAND UNIV COLLEGE PARK SYSTEMS RESEARCH CENTER
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We study a linear system with a Markovian switching parameter perturbed hy white noise. The cost function is quadratic. Under certain conditions, we find a linear feedhack control which is almost surely optimal for the pathwise average cost over the infinite planning horizon.
- Statistics and Probability