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Uncoupled Riccati iterations for the linear quadratic control problem of discrete-time Markov jump linear systems. (English) Zbl 1056.93537


MSC:

93B40 Computational methods in systems theory (MSC2010)
49N10 Linear-quadratic optimal control problems
90C40 Markov and semi-Markov decision processes
93E20 Optimal stochastic control
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