Groupe d’études et de recherche en analyse des décisions

G-99-45

Jump Linear Quadratic Regulator with Controlled Jump Rates

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This paper deals with the class of continuous-time linear systems with Markovian jumps. We assume that jump rates are controlled. Our purpose is to study the jump linear quadratic regulator (JLQ) of this class of systems. The structure of the optimal controller is established. For one-dimension system an algorithm to solve the corresponding set of coupled Riccati equations of this optimal control problem is provided. Two numerical examples are given to show the usefulness of our results.

, 12 pages