Infinite horizon \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$H_2/H_\infty $$\end{document} optimal control for discrete-time Markov jump systems with (\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$x,u,v$$\end{document})-dependent noise

In this paper, an infinite horizon \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$H_2/H_\infty $$\end{document} control problem is addressed for a broad class of discrete-time Markov jump systems with (\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$x,u,v$$\end{document})-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 \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$H_2/H_\infty $$\end{document} 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.