Stochastic optimal tracking with preview for linear continuous-time Markovian jump systems

In this paper we study the stochastic optimal tracking problems with preview for a class of linear continuous-time Markovian jump systems. The necessary and sufficient conditions for the solvability of our LQG tracking problem are given by coupled Riccati differential equations and coupled scalar differential equations with terminal conditions. Correspondingly feedforward compensators introducing future information are given by coupled differential equations with terminal conditions. We consider three different tracking problems depending on the property of the reference signals. Finally we give numerical examples.