Learn More
In this paper we tackle the &#x210B;<sub>&#x221E;</sub> filtering problem for a discrete-time Markov Jump Linear System (MJLS) with hidden parameters. We consider a hidden Markov model (&#x03B8;(k); &#x03B8;&#x0302;(k)) in which &#x03B8;(k) is not accessible and corresponds to the mode of operation of the system, while &#x03B8;&#x0302;(k) is a signal coming(More)
We consider the multi-period mean variance stochastic optimal control problem of discrete-time Markov jump with multiplicative noise linear systems. First, we consider the performance criterion to be a linear combination of the final variance and expected value of the output of the system. We analytically derive an optimal control policy for this problem.(More)
  • 1