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@article{Fragoso2010ASP, title={A Separation Principle for the Continuous-Time LQ-Problem With Markovian Jump Parameters}, author={Marcelo D. Fragoso and Oswaldo Luiz V. Costa}, journal={IEEE Transactions on Automatic Control}, year={2010}, volume={55}, pages={2692-2707} }

- Published 2010 in IEEE Transactions on Automatic Control
DOI:10.1109/TAC.2010.2048056

In this paper, we devise a separation principle for the finite horizon quadratic optimal control problem of continuous-time Markovian jump linear systems driven by a Wiener process and with partial observations. We assume that the output variable and the jump parameters are available to the controller. It is desired to design a dynamic Markovian jump controller such that the closed loop system minimizes the quadratic functional cost of the system over a finite horizon period of time. As in theâ€¦Â CONTINUE READING

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