Randomized algorithms for robust stability and guaranteed cost control of stochastic jump parameter systems with uncertain switching policies

Abstract. It has been suggested recently that the uncertainty randomization approach may offer numerical advantages when applied to robust control problems. This paper investigates new possibilities which this approach may offer in relation to the robust stability and control of stochastic systems governed by uncertain discrete-state Markov processes. Key Words. Markovian jump parameter systems, randomized algo-rithms, guaranteed cost control, robust control, matrix inequalities. 1