STATE-FEEDBACK CONTROL OF DISCRETE-TIME STOCHASTIC LINEAR SYSTEMS WITH MARKOVIAN SWITCHING

DOI: 10.18173/2354-1059.2020-0024

Abstract

This paper is concerned with the stabilization problem via state-feedback control of discrete-time jumping systems with stochastic multiplicative noises. The jumping process of the system is driven by a discrete-time Markov chain with finite states and partially known transition probabilities. Sufficient conditions are established in terms of tractable linear matrix inequalities to design a mode-dependent stabilizing state-feedback controller. A numerical example is provided to validate the effectiveness of the obtained result.