Joint Estimation and Control of Jump Linear Systems With Multiplicative Noises

[+] Author and Article Information
M. Mariton

Laboratoire des Signaux et Systèmes, CNRS—ESE, Plateau du Moulon, 91190 Gif-sur-Yvette, France

J. Dyn. Sys., Meas., Control 109(1), 24-28 (Mar 01, 1987) (5 pages) doi:10.1115/1.3143814 History: Received November 03, 1986; Online July 21, 2009


Jump Linear Quadratic Gaussian systems are considered in the presence of state-and control-dependent noises. Assuming that the jumps of the model parameters are perfectly observed, it is possible to formulate and solve an optimal input synthesis problem. It is found that the optimal solution does not present the certainty equivalence property, so that the estimation and control synthesis must be treated simultaneously. Optimal equations for the filter and regulator gains are obtained in terms of a set of coupled nonlinear matrix differential equations.

Copyright © 1987 by ASME
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