%0 Journal Article
%T Optimal Control of Stochastic System with Markovian Jumping and Multiplicative Noises<br>带马尔科夫跳和乘积噪声的随机系统的最优控制
%A KONG Shu-Lan
%A ZHANG Zhao-Sheng
%A <br>孔淑兰
%A 张召生
%J 自动化学报
%D 2012
%I 
%X An optimization problem for a stochastic system of N players is presented. An optimal Pareto controller of the stochastic system with Markovian jumping and multiplicative white noises is designed in infinite time horizon. The optimal Pareto solution is obtained by using the generalized Lyapunov equation approach and solving stochastic generalized Riccati algebraic equations (SGRAEs). It is proved that the controller is a stabilizing feedback control and the solution of SGRAEs is minimal associated with the optimal control.
%K Pareto solution
%K stochastic system
%K Markovian jumping
%K multiplicative noises
%K minimal solution<br>Pareto解
%K 随机系统
%K 马尔科夫跳
%K 乘积噪声
%K 最小解
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=5B3AB970F71A803DEACDC0559115BFCF0A068CD97DD29835&cid=8240383F08CE46C8B05036380D75B607&jid=E76622685B64B2AA896A7F777B64EB3A&aid=BC10CD3F59E055E23AB9DEB35B26D0EE&yid=99E9153A83D4CB11&vid=16D8618C6164A3ED&iid=DF92D298D3FF1E6E&sid=0EFDF9DD0F63E842&eid=C92F92E9A15D3512&journal_id=0254-4156&journal_name=自动化学报&referenced_num=0&reference_num=19