Continuous-Time Markov Jump Linear Systems

  • Oswaldo L.V. Costa
  • Marcelo D. Fragoso
  • Marcos G. Todorov

Part of the Probability and Its Applications book series (PIA)

Table of contents

  1. Front Matter
    Pages I-XII
  2. Oswaldo L.V. Costa, Marcelo D. Fragoso, Marcos G. Todorov
    Pages 1-14
  3. Oswaldo L.V. Costa, Marcelo D. Fragoso, Marcos G. Todorov
    Pages 15-31
  4. Oswaldo L.V. Costa, Marcelo D. Fragoso, Marcos G. Todorov
    Pages 33-69
  5. Oswaldo L.V. Costa, Marcelo D. Fragoso, Marcos G. Todorov
    Pages 71-82
  6. Oswaldo L.V. Costa, Marcelo D. Fragoso, Marcos G. Todorov
    Pages 83-96
  7. Oswaldo L.V. Costa, Marcelo D. Fragoso, Marcos G. Todorov
    Pages 97-126
  8. Oswaldo L.V. Costa, Marcelo D. Fragoso, Marcos G. Todorov
    Pages 127-150
  9. Oswaldo L.V. Costa, Marcelo D. Fragoso, Marcos G. Todorov
    Pages 151-181
  10. Oswaldo L.V. Costa, Marcelo D. Fragoso, Marcos G. Todorov
    Pages 183-212
  11. Oswaldo L.V. Costa, Marcelo D. Fragoso, Marcos G. Todorov
    Pages 213-230
  12. Back Matter
    Pages 231-286

About this book

Introduction

It has been widely recognized nowadays the importance of introducing mathematical models that take into account possible sudden changes in the dynamical behavior of  high-integrity systems or a safety-critical system. Such systems can be found in aircraft control, nuclear power stations, robotic manipulator systems, integrated communication networks and large-scale flexible structures for space stations, and are inherently vulnerable to abrupt changes in their structures caused by component or interconnection failures. In this regard, a particularly interesting class of models is the so-called Markov jump linear systems (MJLS), which have been used in numerous applications including robotics, economics and wireless communication. Combining probability and operator theory, the present volume provides a unified and rigorous treatment of recent results in control theory of continuous-time MJLS. This unique approach is of great interest to experts working in the field of linear systems with Markovian jump parameters or in stochastic control. The volume focuses on one of the few cases of stochastic control problems with an actual explicit solution and offers material well-suited to coursework, introducing students to an interesting and active research area.

The book is addressed to researchers working in control and signal processing engineering. Prerequisites include a solid background in classical linear control theory, basic familiarity with continuous-time Markov chains and probability theory, and some elementary knowledge of operator theory. ​

Keywords

93E20, 60J27, 93E11, 93E15, 93E03, 60G35 Continuous-time Markov Processes on a Discrete State Space Filtering Optimal Stochastic Control Stochastic Stability Stochastic Systems

Authors and affiliations

  • Oswaldo L.V. Costa
    • 1
  • Marcelo D. Fragoso
    • 2
  • Marcos G. Todorov
    • 3
  1. 1.Polytechnic School, Department of TelecommunicationsUniversity of São PauloSão PauloBrazil
  2. 2.Department of Systems and Control, LNCC/MCTNat. Lab. for Scientific ComputingPetrópolisBrazil
  3. 3.Department of Systems and Control, LNCC/MCTNat. Lab. for Scientific ComputingPetrópolisBrazil

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-34100-7
  • Copyright Information Springer-Verlag Berlin Heidelberg 2013
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-34099-4
  • Online ISBN 978-3-642-34100-7
  • Series Print ISSN 1431-7028
  • About this book