EECI09: Jump linear Markov processes

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In this lecture, we give a brief overview of Markovian jump linear systems. Such systems display multiple linear modes for the evolution of the state, and the modes are chosen stochastically. Such systems were important in the early development of networked control systems, where the communication channels were modeled as a Markov chain for effects such as delay and packet loss. As we will see in the next chapter, the one-block design problem for such systems can be studied in the framework of Markovian jump linear systems.

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