Uncoupled Riccati iterations for the linear quadratic control problem of discrete-time Markov jump linear systems

This paper deals with recursive methods for solving coupled Riccati equatio ns arising in the linear quadratic control for Markovian jump linear system s. Two algorithms, based on solving uncoupled Riccati equations at each ite ration, are presented. The standard method for this problem relies on finit e stage approximations with receding horizon, whereas the methods presented here are based on sequences of stopping times to define the terminal time of the approximating control problems. The methods can be ordered in terms of rate of convergence. Comparisons with other methods in the current liter ature are also presented.