State and mode feedback control strategy for discrete‐time Markovian jump linear systems with time‐varying controllable mode transition probability matrix

Abstract

SummaryIn this article, the state and mode feedback control strategy is investigated for the discrete‐time Markovian jump linear system (MJLS) with time‐varying controllable mode transition probability matrix (MTPM). This strategy, consisting of a state feedback controller and a mode feedback controller, is proposed to ensure MJLS's stability and meanwhile improve system performance. First, a mode‐dependent state feedback controller is designed to stabilize the MJLS based on the time‐invariant part of the MTPM such that it can still keep valid even if the MTPM is adjusted by the mode feedback control. Second, a generalized quadratic stabilization cost is put forward for evaluating MJLS's performance, which contains system state, state feedback controller, and mode feedback controller. To reduce the stabilization cost, a mode feedback controller is introduced to adjust each mode's occurrence probability by changing the time‐varying controllable part of MTPM. The calculation of such mode feedback controller is given based on a value‐iteration algorithm with its convergence proof. Compared with traditional state feedback control strategy, this state and mode feedback control strategy offers a new perspective for the control problem of general nonhomogeneous MJLSs. Numerical examples are provided to illustrate the validity of the proposed strategy.