Receding horizon control of Markov jump linear systems subject to noise and unobserved state chain

We study the solution of receding horizon control of discrete-time Markov jump linear systems subject to exogenous inputs (noise). The performance index is quadratic and the information available to the controller does not involve observations of Markov chain states. To solve this problem, a sequence of linear feedback gains that is independent of the Markov state is adopted. We propose an interactive method based on a variational procedure which attains the solution to the problem, and an illustrative example is presented.