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A Note on an LQG Regulator with Markovian Switching and Pathwise Average Cost
(1994)
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 ...
A Note on an LQG Regulator with Markovian Switching and Pathwise Average Cost
(1992)
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 ...