Minimax Control of Markov Jump Linear Systems

This paper introduces and focuses on a new control strategy for continuous-time Markov jump linear systems denominated minimax control. It generalizes switching and linear parameter varying control strategies and is determined such as to preserve stochastic stability and guaranteed H 2 performance. The special classes of Markov mode-dependent and mode-independent control are considered. The design methodology is charac- terized by minimax problems for which the existence of a saddle point is the central issue to be taken into account. As a natural application, Markov jump linear systems state feedback control design is discussed under this framework. A numerical example illustrates the theoretical results.