Finite-time receding horizon control for Markovian jump linear systems with partly unknown transition probabilities

Technical and economical reasons motivate the development of Markovian jump linear systems (MJLSs) with an ever-increasing complexity [1]. Some basic issues of MJLSs, such as stochastic stabilizability, finite-/infinite-horizon filtering, quadratic optimal control andH2/H∞ performance, etc, have been extensively studied over the past two decades. It is worth mentioning that the transition probabilities (TPs) or jump rates (JRs) play important roles in system behavior, thus rich references appear with burgeoning research interest (see [2] and references therein).