Receding horizon control for linear discrete systems with jump parameters

Abstract

Suggests a receding horizon control of discrete-time linear systems that possess randomly jumping parameters described by finite-state Markov processes. The suggested receding horizon control is based on a finite input and state horizon cost with a finite terminal weighting matrix. For the guaranteed stability of the closed loop system under the receding horizon control, we propose a matrix inequality condition on the terminal weighting matrix. The terminal weighting matrix can be obtained by solving a LMI (linear matrix inequality). The receding horizon control and the matrix inequality condition are easily computed for time-varying Markovian jump linear systems, and this receding horizon control can be used in practical applications.