-- Vijay
Gupta, Babak Hassibi and Richard M. Murray, Proceedings
of the American Control Conference, 2003 (ACC 2003),
4-6 June 2003
Page(s):2893 - 2898 vol.4.
We analyze a jump linear Markov system being stabilized using a linear
controller. We consider the case when the Markov state is associated
with the probability distribution of a measured variable. We assume
that the Markov state is not known, but rather is being estimated based
on the observations of the variable. We present conditions for the
stability of such a system and also solve the optimal LQR control
problem for the case when the state estimate update uses only the last
observation value. In particular we consider a suboptimal version of
the causal Viterbi estimation algorithm and show that a separation
property does not hold between the optimal control and the Markov state
estimate. Some simple examples are also presented.
conference submission
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