Controle em horizonte finito com restriçoes de sistemas lineares discretos com saltos markovianos / Constrained control problem within a finite horizon of markovian jump discrete linear systems

AUTOR(ES)
DATA DE PUBLICAÇÃO

2009

RESUMO

The purpose of this work is to propose and solve the constrained control problem within a finite horizon of Markovian Jump Discrete Linear Systems (MJDLS) driven by noise. The constraints of the state and control vectors are not rigid and limits are established respectively to their first and second moments. The controller is based on a linear state feedback structure and shall minimize a quadratic cost function. Two cases regarding the available information of the Markovian chain states are considered: firstly the Markov chain states are known at each step and secondly only its initial probability distribution is available. A deterministic formulation to the stochastic problem is developped in order that the proposed necessary optimality conditions and the constraints are easily included by using Linear Matrix Inequalities (LMI). The constraints consideration constitutes the main contribution, since they are pertinent to several application fields as for example chemical industry, mass transportation, economy etc. Two applications are presented for ilustration: one refers to metro lines traffic regulation and another refers to the financial investment income control

ASSUNTO(S)

markov processes linear systems markov processos de processos estocasticos sistemas lineares stochastic processes

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