Optimal Preview Control of Markovian Jump Linear Systems

Abstract

In this paper, we investigate the design of controllers, for discrete-time Markovian jump linear systems, that achieve optimal reference tracking in the presence of preview (reference look-ahead). For a quadratic cost and given a reference sequence, we obtain the optimal solution for the full information case. The optimal control policy consists of the additive contribution of two terms: a feedforward term and a feedback term. We show that the feedback term is identical to the standard optimal linear quadratic regulator for Markovian jump linear systems. We provide explicit formulas for computing the feedforward term, including an analysis of convergence.