A new iterative algorithm for solvingH∞control problem of continuous-time Markovian jumping linear systems based on online implementation

Abstract

A new online iterative algorithm for solving the H_inf control problem of continuous-time Markovian jumping linear systems (MJLSs) is developed. For comparison, an available off-line iterative algorithm for converging to the solution of the H_inf control problem is firstly proposed. Based on the off-line iterative algorithm and a new online decoupling technique named Subsystems Transformation method, a set of linear subsystems which implementation in parallel are obtained. There, by means of the online Adaptive Dynamic Programming (ADP) technique, the two-player zero-sum game and the coupled game algebraic Riccati equation (CGARE) are solved. The convergence of the novel policy iteration algorithm is also established. At last, simulation results have illustrated the effectiveness and applicability of these two methods.