Stability and disturbance attenuation for a switched Markov jump linear system

Collin C. Lutz, Daniel J. Stilwell

We address a class of Markov jump linear systems that are characterized by the underlying Markov process being time-inhomogeneous with a priori unknown transition probabilities. Necessary and sufficient conditions for uniform stochastic stability and uniform stochastic disturbance attenuation are reported. In both cases, conditions are expressed as a set of finite-dimensional linear matrix inequalities that can be solved efficiently.

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