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International Conference on Intelligent Robotics and Applications

ICIRA 2018: Intelligent Robotics and Applications pp 144–152Cite as

Optimal Control Problem for Discrete-Time Markov Jump Systems with Indefinite Weight Costs

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Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 10984))

Abstract

In this article, the optimal control problem with indefinite state and control weighting matrices in the cost function for discrete-time systems involving Markov jump and multiplicative noise is discussed. Necessary and sufficient conditions of the solvability of indefinite optimal control problem in finite-horizon are obtained by solving the forward-backward stochastic difference equations with Markov jump (FBSDEs-MJ) derived from the maximum principle, whose method is different from most previous works [12], etc.

This work is supported by the National Natural Science Foundation of China under Grants 61573221, 61633014, 61473134.

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Author information

Authors and Affiliations

  1. School of Control Science and Engineering, Shandong University, Jinan, 250061, Shandong, China

    Hongdan Li & Huanshui Zhang

  2. School of Electrical Engineering, University of Jinan, Jinan, 250022, Shandong, China

    Chunyan Han

Authors
  1. Hongdan Li
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  2. Chunyan Han
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  3. Huanshui Zhang
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Corresponding author

Correspondence to Huanshui Zhang .

Editor information

Editors and Affiliations

  1. University of Newcastle, Callaghan, New South Wales, Australia

    Zhiyong Chen

  2. University of Newcastle, Callaghan, New South Wales, Australia

    Alexandre Mendes

  3. University of Newcastle, Callaghan, New South Wales, Australia

    Yamin Yan

  4. Shenzhen Institutes of Advanced Technology, Shenzhen, China

    Shifeng Chen

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Li, H., Han, C., Zhang, H. (2018). Optimal Control Problem for Discrete-Time Markov Jump Systems with Indefinite Weight Costs. In: Chen, Z., Mendes, A., Yan, Y., Chen, S. (eds) Intelligent Robotics and Applications. ICIRA 2018. Lecture Notes in Computer Science(), vol 10984. Springer, Cham. https://doi.org/10.1007/978-3-319-97586-3_13

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  • DOI: https://doi.org/10.1007/978-3-319-97586-3_13

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-97585-6

  • Online ISBN: 978-3-319-97586-3

  • eBook Packages: Computer ScienceComputer Science (R0)

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