Continuous-time state-feedback \(H_2\)-control of Markovian jump linear systems via convex analysis (Q1295102)

The authors consider a continuous-time \(H_2\)-control problem for linear systems in a Markovian environment, defined by a continuous-time Markov chain with a finite state space and, possibly, unknown matrix of transition probabilities, which belongs to a given convex set. The problem is solved using the convex programming approach, and the results are compared with those obtained by the dynamic programming approach.