Accession Number:

ADA455011

Title:

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

Descriptive Note:

Research rept.

Corporate Author:

MARYLAND UNIV COLLEGE PARK SYSTEMS RESEARCH CENTER

Personal Author(s):

• Ghosh, M. K.
• Arapostathis, A.
• Marcus, S. I.

Report Date:

1992-01-01

Pagination or Media Count:

8.0

Abstract:

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.

Descriptors:

• *SWITCHING
• *MARKOV PROCESSES
• LINEAR SYSTEMS
• PARAMETRIC ANALYSIS
• WHITE NOISE

Subject Categories:

• Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE