Full Information H 2 Control of Borel-Measurable Markov Jump Systems with Multiplicative Noises

This paper addresses an H 2 optimal control problem for a class of discrete-time stochastic systems with Markov jump parameter and multiplicative noises. The involved Markov jump parameter is a uniform ergodic Markov chain taking values in a Borel-measurable set. In the presence of exogenous white noise disturbance, Gramian characterization is derived for the H 2 norm, which quantifies the stationary variance of output response for the considered systems. Moreover, under the condition that full information of the system state is accessible to measurement, an H 2 dynamic optimal control problem is shown to be solved by a zero-order stabilizing feedback controller, which can be represented in terms of the stabilizing solution to a set of coupled stochastic algebraic Riccati equations. Finally, an iterative algorithm is provided to get the approximate solution of the obtained Riccati equations, and a numerical example illustrates the effectiveness of the proposed algorithm.