Stochastic optimal control for jump systems with application to sampled-data systems

The partially observable optimal stochastic control problem for jump systems with sampled inputs and sampled observations is considered. We first consider Kalman filters and state feedback controllers for jump systems. As for the Kalman filters, we consider two cases with and without observation delay. Then we obtain output feedback controllers by establishing the separation principle. We consider the finite-time and the infinite-time problems. Since a jump system covers a sampled-data system, we apply the results for jump systems to sampled-data systems. Finally an example is given to illustrate the theory.