A Note on an LQG Regulator with Markovian Switching and Pathwise Average Cost
Ghosh, Mrinal K.
Marcus, Steven I.
MetadataShow full item record
We study a linear system with a Markovian switching parameter perturbed by white noise. The cost function is quadratic. Under certain conditions, we find a linear feedback control which is almost surely optimal for the pathwise average cost over the infinite planning horizon.