Marcelo D. Fragoso

Discrete-time Markov jump linear systems

Markov Jump Linear Systems.- Background Material.- On Stability.- Optimal Control.- Filtering.- Quadratic Optimal Control with Partial Information.- H?-Control.- Design Techniques and Examples.

Continuous-Time Markov Jump Linear Systems

1.Introduction.- 2.A Few Tools and Notations.- 3.Mean Square Stability.- 4.Quadratic Optimal Control with Complete Observations.- 5.H2 Optimal Control With Complete Observations.- 6.Quadratic and H2 Optimal Control with Partial Observations.- 7.Best Linear Filter with Unknown (x(t), theta(t)).- 8.H_

A Unified Approach for Stochastic and Mean Square Stability of Continuous-Time Linear Systems with Markovian Jumping Parameters and Additive Disturbances

infty

H ∞ filtering for Markovian jump linear systems

Control.- 9.Design Techniques.- 10.Some Numerical Examples.- A.Coupled Differential and Algebraic Riccati Equations.- B.The Adjoint Operator and Some Auxiliary Results.- References.- Notation and Conventions.- Index.

Optimal Control for Continuous-Time Linear Quadratic Problems with Infinite Markov Jump Parameters

Necessary and sufficient conditions for stochastic stability (SS) and mean square stability (MSS) of continuous-time linear systems subject to Markovian jumps in the parameters and additive disturbances are established. We consider two scenarios regarding the additive disturbances: one in which the system is driven by a Wiener process, and one characterized by functions in

On a partially observable LQG problem for systems with Markovian jumping parameters

{L_2^m}{(\Omega,{\cal F}, {\mathbb{P}})}

On the existence of maximal solution for generalized algebraic Riccati equations arising in stochastic control

, which is the usual scenario for the

A New Approach to Detectability of Discrete-Time Infinite Markov Jump Linear Systems

H_{\infty}

Lyapunov coupled equations for continuous-time infinite Markov jump linear systems

approach. The Markov process is assumed to take values in an infinite countable set

Stationary Filter For Continuous-Time Markovian Jump Linear Systems

\mathcal{S}