A Separation Principle for the Continuous-Time LQ-Problem With Markovian Jump Parameters

@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}
}
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 the… CONTINUE READING
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