Stochastic Optimal Tracking with Preview by State Feedback for Linear Continuous-Time Markovian Jump Systems

In this paper, we study the stochastic optimal tracking problems with preview for a class of linear discrete-time Markovian jump systems. The systems are described by the discrete-time switching systems with Markovian mode transitions. The necessary and sufficient conditions for the solvability of the optimal tracking problems are given by cou- pled Riccati difference equations with terminal conditions. Correspondingly, feedforward compensators introducing future information are given by coupled difference equations with terminal conditions. We consider three different tracking problems depending on the property of the reference signals. Finally we give numerical examples.

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