Groupe d’études et de recherche en analyse des décisions

G-2002-14

Guaranteed Cost Control of a Markov Jump Linear Uncertain System Using Time-Multiplied Cost Function

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This paper addresses the guaranteed cost control problem of jump linear systems with norm bounded uncertain parameters. A time-multiplied performance index is considered. The performance is first calculated and an LMI based algorithm is developed to design a state feedback control law with constant gain matrices which robustly stabilizes the system in the mean-square quadratically stable sense.

, 23 pages