Second moment constraints and the control problem of Markov jump linear systems

Abstract

This paper addresses the optimal solution for the regulator control problem of Markov jump linear systems subject to second moment constraints. We can characterize and obtain the solution explicitly using linear matrix inequalities techniques. The constraints are imposed on the second moment of both the system state and control vector, and the optimal solution is obtained in a computable form. To illustrate the usefulness of the approach, specially that for systems subject to abrupt variations and physical limitations, we present an application for one joint of the European Robotic Arm.