Randomized Algorithms for Robust Stability and Guaranteed Cost Control of Stochastic Jump Parameter Systems with Uncertain Switching Policies

V. A. Ugrinovskii
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V. A. Ugrinovskii: Australian Defence Force Academy

Journal of Optimization Theory and Applications, 2005, vol. 124, issue 1, No 12, 227-245

Abstract: Abstract It has been suggested recently that the uncertainty randomization approach may offer numerical advantages when applied to robust control problems. This paper investigates new possibilities which this approach may offer in relation to the robust stability and control of stochastic systems governed by uncertain discrete-state Markov processes.

Keywords: Markovian jump parameter systems; randomized algorithms; guaranteed cost control; robust control; matrix inequalities (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s10957-004-6474-9

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