An algorithm for the long run average cost problem for linear systems with non-observed Markov jump parameters

Authors:
Carlos A. Silva;Eduardo F. Costa
Affiliations:
Depto. de Matemática Aplicada e Estatílstica, Universidade de São Paulo, São Carlos, SP, Brazil;Depto. de Matemática Aplicada e Estatílstica, Universidade de São Paulo, São Carlos, SP, Brazil
Venue:
ACC'09 Proceedings of the 2009 conference on American Control Conference
Year:
2009

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Abstract

This paper addresses the problem of long run average cost for linear systems with nonobserved Markov jump parameters. We present an algorithm that relies on the approximation of the (infinite horizon) cost via its finite horizon version and uses an evolutionary-based algorithm for the finite horizon cost. A numerical example illustrates the proposed algorithm.