J Austral Math Soc Ser B 36 pp414--423, 1995.

A computational method for a class of jump linear quadratic systems

K. H. Wong, N. Lock and K. Kaji

(Received 8 June 1993; revised 27 October 1993)

Abstract

A class of linear systems subject to sudden jumps in parameter values is considered. To solve this class of stochastic control problem, we try to seek the best feedback control law depending only on the measurable output. Based on this idea, we convert the original problem into an approximate constrained deterministic optimization problem, which can be easily solved by any existing nonlinear programming technique. An example is solved to illustrate the efficiency of the method.

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Authors

K. H. Wong
N. Lock
K. Kaji: Dept of Computational and Applied Math., Univ. of the Witwatersrand, Johannesberg, South Africa.

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Last Modified: Mon Dec 10 10:53:52 2001