New unified matrix upper bound on the solution of the continuous coupled algebraic Riccati equation

In this paper, a unified matrix upper solution bound is established for the continuous coupled algebraic Riccati equation arising from the optimal control of a Markovian jump linear system. In particular, the issue of rank deficiency with the control matrices is addressed because it may cause problems to some existing matrix upper solution bounds. The results of this paper not only apply to this rank deficient case but also contain those existing results as special cases. (C) 2015 The Franklin Institute. Published by Elsevier Ltd. All rights reserved.