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We study hysteresis-based switching control for a class of discrete-time stochastic linear systems. We take as given a family of candidate controllers that is sufficiently rich so as to include at least one controller suitable for each admissible process model. The controller operating in closed-loop with the system is replaced as soon as the measured data is significantly incompatible with the corresponding...
We study the quadratic control of a class of stochastic hybrid systems with linear continuous dynamics for which the lengths of time that the system stays in each mode are independent random variables with given probability distribution functions. We derive a condition for finding the optimal feedback policy that minimizes a discounted infinite horizon cost. We show that the optimal cost is the solution...
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