Recursive robust regulator for Markovian jump linear systems subject to uncertain transition probabilities

In this paper, a new framework to deal with the robust regulation problem of Markovian jump linear systems subject to uncertainties in the transition probability matrices is proposed. It is developed based on penalty functions and robust regularized least-square problems. The optimal solution is given in terms of recursive Riccati equations. A numerical example is used to illustrate the effectiveness of the regulator.