Model predictive controlof interconnected hybrid systems with Markov jumps under constraints
Modern control systems are generally composed of interacting subsystems with both continuousand discrete dynamics. In particular, the investment portfolio is a complex system, which canbe consisted of risky financial assets of different classes, where the dynamics of returns variesdiscontinuously in accordance with the evolution of interrelated states of Markov chains describing,for example, the behavior of the various sectors of economy.In this paper we consider complex Markov jump linear system composed of interconnectedsubsystems. The parameters of each subsystem change in accordance with the evolution of thesimple connected Markov chains whose states are interrelated. We use model predictive controlapproach to solve the problem. The open-loop feedback control strategy is derived taking into accountexplicit constraints on the input variables. Predictive strategies computation includes thedecision of the sequence of quadratic programming tasks.
Keywords
constraints,
vector simple connected Markov chain,
interconnected hybrid systems,
hybrid systems,
model predictive control,
ограничения,
векторная односвязная цепь Маркова,
взаимосвязанные гибридные системы,
управление с прогнозирующей модельюAuthors
| Dombrovskii Vladimir Vladimir V. | National Research Tomsk State University | dombrovs@ef.tsu.ru |
| Obyedko Tatyana Y. | National Research Tomsk State University | tani4kin@mail.ru |
Всего: 2
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