Continuous-Time Markov Jump Linear Systems

Oswaldo Luiz do Valle Costa is Professor in the Department of Telecommunications and Control Engineering at the University of Sao Paulo - USP, Sao Paulo, SP. Marcelo Dutra Fragoso is Professor in the Department of Systems and Control at the National Laboratory for Scientific Computing - LNCC/MCTI, Petropolis, Rio de Janeiro. Marcos Garcia Todorov is currently a postdoctoral researcher at the National Laboratory for Scientific Computing - LNCC/MCTI, Petropolis, Rio de Janeiro.

• 1.Introduction.- 2.A Few Tools and Notations.- 3.Mean Square Stability.- 4.Quadratic Optimal Control with Complete Observations.- 5.H2 Optimal Control With Complete Observations.- 6.Quadratic and H2 Optimal Control with Partial Observations.- 7.Best Linear Filter with Unknown (x(t), θ(t)).- 8.H_$infty$ Control.- 9.Design Techniques.- 10.Some Numerical Examples.- A.Coupled Differential and Algebraic Riccati Equations.- B.The Adjoint Operator and Some Auxiliary Results.- References.​- Notation and Conventions.- Index.

From the reviews: "This book is on the estimation and control of linear continuous-time stochastic systems with jump Markov parameters and additive Wiener processes. ... The book is suitable for introducing jump Markov systems theory to graduate students and practitioners with an appropriately advanced background in linear systems, state space control, probability and random processes. Since it has many of the significant control and estimation results in this field, it can also be used as a versatile reference source by researchers in this field." (Edwin Engin Yaz, Mathematical Reviews, October, 2013)