Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
The 40th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (Nov. 2008, Kyoto)
Stochastic Optimal Tracking with Preview for Linear Discrete-Time Markovian Jump Systems
Gou Nakura
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2009 Volume 2009 Pages 53-60

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Abstract
In this paper we study the stochastic optimal tracking problems with preview for a class of linear discrete-time Markovian jump systems. The systems are described by the discrete-time switching systems with Markovian mode transitions. The necessary and sufficient conditions for the solvability of our optimal tracking problems are given by coupled Riccati difference equations with terminal conditions. Correspondingly feedforward compensators introducing future information are given by coupled difference equations with terminal conditions. We consider three different tracking problems depending on the property of the reference signals. Finally we give numerical examples.
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© 2009 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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