Balanced Truncation for Discrete Time Markov Jump Linear Systems

This technical note investigates the model reduction problem for mean square stable discrete time Markov jump linear systems. For this class of systems a balanced truncation algorithm is developed. The reduced order model is suboptimal, however the approximation error, which is captured by means of the stochastic gain, is bounded from above by twice the sum of singular numbers associated to the truncated states of each mode. Such a result allows rigorous simplification of the dynamics of each mode in an independent manner with respect to a metric which is relevant from a robust control point of view.