Robust H 2-control for discrete-time Markovian jump linear systems
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Publication:4485340
An \(H_2\)-control problem for a discrete time Markov jump linear system (MJLS) with uncertainties in the transition probabilities of the Markov chain as well as in the matrices of the system is considered using a convex programming approach. A linear matrix inequality optimization problem is proposed which provides a mean square stabilizing controller for the closed-loop MJLS. It is proved that in case of no uncertainties, the existence of a solution for the linear matrix inequality optimization problem is equivalent to the existence of the mean square stabilizing solution for the associated coupled algebraic Riccati equations. A numerical example and comparisons illustrating the results are presented.
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