Ghosh, Mrinal K.; Arapostathis, Aristotle; Marcus, Steven I. A note on an LQG regulator with Markovian switching and pathwise average cost. (English) Zbl 0843.93090 IEEE Trans. Autom. Control 40, No. 11, 1919-1921 (1995). A parametrized linear system perturbed by white noise is studied. The parameters are randomly switching from one state to the other and are modeled as a finite state Markov chain. The actual values of the parameter and the state of the linear system are assumed to be known to the controller. The objective is to minimze a quadratic cost over the infinite planning horizon. Under certain conditions, a linear feedback control is found which is almost surely optimal for the pathwise average cost over the infinite planning horizon. Reviewer: R.Gessing (Gliwice) Cited in 3 Documents MSC: 93E20 Optimal stochastic control 60J27 Continuous-time Markov processes on discrete state spaces Keywords:stochastic control; switching; Markov chain; quadratic cost; infinite planning horizon PDFBibTeX XMLCite \textit{M. K. Ghosh} et al., IEEE Trans. Autom. Control 40, No. 11, 1919--1921 (1995; Zbl 0843.93090) Full Text: DOI Link