Adaptive control of linear systems with Markov perturbations

The stochastic model considered is a linear jump diffusion process X for which the coefficients and the jump processes depend on a Markov chain Z with finite state space. First, we study the optimal filtering and control problem for these systems with non-Gaussian initial conditions, given noisy observations of the state X and perfect measurements of Z. We derive a new sufficient condition which ensures the existence and the uniqueness of the solution of the nonlinear stochastic differential equations satisfied by the output of the filter. We study a quadratic control problem and show that the separation principle holds. Next, we investigate an adaptive control problem for a state process X defined by a linear diffusion for which the coefficients depend on a Markov chain, the processes X and Z being observed in independent white noises. Suboptimal estimates for the process X, Z and approximate control law are investigated for a large class of probability distributions of the initial state. Asymptotic properties of these filters and this control law are obtained. Upper bounds for the corresponding error are given