Hybrid LQG problems: near optimal controls

This paper deals with hybrid control of a class of linear quadratic Gaussian systems modulated by a finite state Markov chain. It develops approximation schemes for systems involving singularly perturbed Markov chains with weak and strong interactions, which are useful for natural time-scale separation and for large-scale Markovian systems. Near optimality of the approximation schemes is obtained, and a numerical example is presented.