Recursive robust regulator for Markovian jump linear systems subject to uncertain transition probabilities with unknown Markov chain

摘要

In this paper, the control problem for a class of discrete-time Markovian jump linear system subject to totally and partially known transition probabilities with unknown Markov chain is investigated. The uncertainties are assumed norm-bounded. To solve this problem, an underlying Markovian jump linear system is reformulated as deterministic system associated with an indicator function. The solution provided is given in terms of the robust regularized least-square problem with penalization through robust recursive regulators.