Full Information H2 Control of Borel-Measurable Markov Jump Systems with Multiplicative Noises

This paper addresses an H2 optimal control problem for a class of discrete-time stochastic systems with Markov jump parameter and multiplicative noises. The involved Markov jump parameter is a uniform ergodic Markov chain taking values in a Borel-measurable set. In the presence of exogenous white noise disturbance, Gramian characterization is derived for the H2 norm, which quantifies the stationary variance of output response for the considered systems. Moreover, under the condition that full information of the system state is accessible to measurement, an H2 dynamic optimal control problem is shown to be solved by a zero-order stabilizing feedback controller, which can be represented in terms of the stabilizing solution to a set of coupled stochastic algebraic Riccati equations. Finally, an iterative algorithm is provided to get the approximate solution of the obtained Riccati equations, and a numerical example illustrates the effectiveness of the proposed algorithm.