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

Abstract

The author has already presented stochastic optimal tracking control theory with preview for linear continuous-time Markovian jump systems on the finite time interval by state feedback ([21]). He has also presented optimal estimation theory for linear continuoustime Markovian jump systems on the finite time interval ([22]). In this paper we study stochastic optimal tracking control theory with preview for linear continuous-time Markovian jump systems on the finite time interval by output feedback. The necessary and sufficient conditions for the solvability of the stochastic optimal tracking problem with preview by state feedback are given by coupled Riccati differential equations with terminal conditions. In order to decide the gains of output feedback controllers, we need solutions of another type of coupled Riccati differential equations with initial conditions.