Finite-Horizon LQR for General Markov Jump Linear Systems: Deterministic Reformulation and Reduced-Order Solution

Alfredo R. R. Narváez, Jeinny Peralta, M. A. C. Candezano

This paper studies the Linear Quadratic Regulator (LQR) problem for continuous-time Markov Jump Linear Systems (MJLS) governed by general finite-state Markov chains that may includ…