Infinite horizon H_2/H_\infty optimal control for discrete-time Markov jump systems with (x,u,v)-dependent noise

In this paper, an infinite horizon $H_2/H_\infty $ control problem is addressed for a broad class of discrete-time Markov jump systems with ( $x,u,v$ )-dependent noises. First of all, under the condition of exact detectability, the stochastic Popov–Belevich–Hautus (PBH) criterion is utilized to establish an extended Lyapunov theorem for a generalized Lyapunov equation. Further, a necessary and sufficient condition is presented for the existence of state-feedback $H_2/H_\infty $ optimal controller on the basis of two coupled matrix Riccati equations, which may be solved by a backward iterative algorithm. A numerical example with simulations is supplied to illustrate the proposed theoretical results.