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Optimization of Markov jump linear system with controlled modes jump probabilities |
Yankai XU( ), Xi CHEN |
| Tsinghua National Laboratory for Information Science and Technology, Center for Intelligent and Networked Systems, Department of Automation, Tsinghua University |
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Abstract The optimal control of a Markov jump linear quadratic model with controlled jump probabilities of modes is investigated. Two kinds of mode control policies, i.e., open-loop control policy and closed-loop control policy, are considered. Using the concepts of policy iteration and performance potential, the sufficient condition needed for the optimal closed-loop control policy to perform better than the optimal open-loop control policy is proposed. The condition is helpful for the design of an optimal controller. Furthermore, an efficient algorithm to construct a closed-loop control policy, which is better than the optimal open-loop control policy, is given with policy iteration.
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Markov jump system
optimal control
policy iteration
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Corresponding Author(s):
XU Yankai,Email:xuyankai99@mails.thu.edu.cn
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Issue Date: 05 March 2009
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