RECEDING HORIZON CONTROL FOR CONSTRAINED JUMP BILINEAR SYSTEMS

In this paper, a receding horizon control strategy for a class of bilinear discrete-time systems with Markovian jumping parameters and constraints is investigated. Specifically, the stochastic jump system under consideration involves control and state multiplicative noise and partly unknown transition probabilities (TPs). The receding horizon formulation adopts an. on-line optimization paradigm that utilizes open loop optimized control move plus linear feedback control and is solved as a semi-definite programming (SDP) problem. The mean square stability, control performance and constraint satisfaction properties are guaranteed, where the terminal-weighting matrix is determined off-line and the control move is calculated on-line. A numerical example is given to show the validity of the developed approach.