Optimal Stabilization Control for Discrete-time Markov Jump Linear System with Control Input Delay

Abstract

This paper will investigate the infinite horizon optimal control and stabilization problems for the Markov jump linear system (MJLS) subject to control input delay. Different from previous works, for the first time, the necessary and sufficient stabilization conditions are explored under explicit expressions, and the optimal controller for infinite horizon is designed with a coupled algebraic Riccati equation. By introducing a new type of Lyapunov equation, we show that under the exact observability assumption, the MJLS with control input delay is stabilizable in the mean square sense with the optimal controller if and only if a coupled algebraic Riccati equation has a unique positive definite solution. The presented results are parallel to the optimal control and stabilization for standard system with input delay.