Numerical solution for linear-quadratic control problems of Markov jump linear systems and weak detectability concept (Q700764)

A quadratic control problem for weakly detectable continuous time Markov jump linear systems is considered. A method of solving the associated coupled algebraic Riccati equations, based on recursive solution of a set of uncoupled algebraic Riccati equations, is proposed. It is proved that the method converges if and only if the system is mean-square stabilizable. Numerical examples and comparisons illustrating the results are presented.