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- W126366202 abstract "A class of linear-quadratic piecewise deterministic soft-constrained zero-sum differential games is formulated and solved, where the minimizing player has access to perfect or imperfect (continuous) state measurements. Such systems are also known as jump linear-quadratic systems, and the underlying game problem can also be viewed as an H∞ optimal control problem, where the system and cost matrices depend on the outcome of a Markov chain. Both finite- and infinite-horizon cases are considered, and a set of sufficient, as well as a set of necessary, conditions are obtained for the upper value of the game to be bounded. Policies for the minimizing player that achieve this upper value (which is zero) are piecewise linear on each sample path of the stochastic process, and are obtained from solutions of linearly coupled generalized Riccati equations. For the associated H∞-optimal control problem, these policies guarantee an L 2 gain type inequality on the closed-loop system.KeywordsLinear Matrix InequalityDifferential GameConjugate PointMarkovian Jump SystemRiccati Differential EquationThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves." @default.
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- W126366202 date "1995-01-01" @default.
- W126366202 modified "2023-09-27" @default.
- W126366202 title "H∞-Control of Markovian Jump Systems and Solutions to Associated Piecewise-Deterministic Differential Games" @default.
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- W126366202 doi "https://doi.org/10.1007/978-1-4612-4274-1_4" @default.
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