Discrete-Time Markov Jump Linear Systems

Abstract

This book is intended as an introduction to discrete-time Markov Jump Linear Systems (MJLS), geared toward graduates and researchers in control theory and stochastic analysis. This is not a textbook, in the sense that the subject is not developed from scratch (i.e., we do not go into detail in the classical theory of topics such as probability, stochastic optimal control, filtering, H∞- control, etc.). Also, this is not an exhaustive or even comprehensive treatise on MJLS. In order to write a book of moderate size, we have been obliged to pass over many interesting topics like, for instance, adaptive control of MJLS, hidden Markov chain filtering, etc.