H∞ Constraint Pareto Suboptimal Static Output Feedback Strategy for Uncertain Markov Jump Linear Stochastic Systems

Abstract

This paper considers $H$∞constraint Pareto suboptimal control problems for a class of uncertain Markov jump linear stochastic systems (UMJLSSs) via static output feedback (SOF). The conditions for existence of a Pareto suboptimal strategy set are defined with a set of cross-coupled stochastic algebraic Riccati type inequalities (CCSARIs). The optimality conditions for the guaranteed cost are established using the Karush-Kuhn-Tucker (KKT) condition. These conditions are expressed as a set of cross-coupled stochastic algebraic Riccati type equations (CCSAREs). Finally, a simple numerical example is provided to demonstrate reliability and usefulness of the proposed strategy set.