Indefinite Robust Linear Quadratic Optimal Regulator for Discrete-Time Uncertain Singular Markov Jump Systems

Abstract

The robust LQ optimal regulator problem for discrete-time uncertain singular Markov jump systems (SMJSs) is solved by introducing a new quadratic cost function established by the penalty function method, which combines the penalty function and the weighting matrices. First, the indefinite robust optimal regulator problem for uncertain SMJSs is transformed into the robust optimal regulator problem with positive definite weighting matrices for uncertain Markov jump systems (MJSs). The transformed robust LQ problem is settled by the robust least-squares method, and the condition of the existence and analytic form of the robust optimal regulator are proposed. On the infinite horizon, the optimal state feedback is obtained, which can guarantee the regularity, causality, and stochastic stability of the corresponding optimal closed-loop system and eliminate the uncertain parameters of the closed-loop system. A numerical example and a practical example of DC motor are used to verify the validity of the conclusions.