Output feedback for a class of linear systems with stochastic jump parameters

A class of linear systems subject to sudden jumps in parameter values is studied. For a quadratic performance index, the optimal controller has already been proposed. It consists of a full state feedback that requires the synthesis of an observer for the plant state and mode. To avoid this difficulty, the present note develops new results that lead to the selection of the best feedback control law depending only on measurable outputs. Necessary optimality conditions are derived and two computationnal algorithms proposed. An example is included.