Abstract
This paper considers the quadratic optimal control problem of a discrete-time Markovian jump linear system, subject to constrains on the control and output variables. It is desired to find a state feedback controller, which may also depend on the jump variable, that minimizes a quadratic cost and satisfies the control and output constrains. The transition probability and initial condition may belong to appropriate convex sets. A solution of this problem is obtained in terms of LMI, so that convex programming can be used for numerical calculations.
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