Linear systems with Markov jumps and multiplicative noises: the constrained total variance problem.
In this work we study the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noises. We consider the multiperiod and finite time horizon optimization of a mean-variance cost function under a new criterion. In this new problem, we apply a...
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| Language: | English |
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Universidade de São Paulo
2016
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| Online Access: | http://www.teses.usp.br/teses/disponiveis/3/3139/tde-17032017-100317/ |