| Stabilization of stochastic systems with hidden Markovian jumps |
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| 作者姓名： | 黄民懿 郭雷 |
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| 基金项目： | This work was supported by the National Natural Science Foundation of China (Grant No. 69425003)，the National Key Project of China. |
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| 摘 要： | This paper considers the adaptive control of discrete-time hybrid stochastic systems with unknown randomly jumping parameters described by a finite-state hidden Markov chain. An intuitive yet longstanding conjecture in this area is that such hybrid systems can be adaptively stabilized whenever the rate of transition of the hidden Markov chain is small enough. This paper provides a rigorous positive answer to this conjecture by establishing the global stability of a gradient-algorithm-based adaptive linear-quadratic control.
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| 收稿时间： | 23 May 2000 |
Stabilization of stochastic systems with hidden Markovian jumps |
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| HUANG Minyi,GUO Lei.Stabilization of stochastic systems with hidden Markovian jumps[J].Science in China(Information Sciences),2001,44(2):104-118. |
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| Authors: | HUANG Minyi GUO Lei |
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| Affiliation: | Institute of Systems Science, Chinese Academy of Sciences, |
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| Abstract: | This paper considers the adaptive control of discrete-time hybrid stochastic systems with unknown randomly jumping parameters described by a finite-state hidden Markov chain. An intuitive yet longstanding conjecture in this area is that such hybrid systems can be adaptively stabilized whenever the rate of transition of the hidden Markov chain is small enough. This paper provides a rigorous positive answer to this conjecture by establishing the global stability of a gradient-algorithm-based adaptive linear-quadratic control. |
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| Keywords: | stochastic adaptive control Markovian jump parameters gradient algorithm stability linear quadratic control |
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