The purpose of this paper is to find the suboptimal control for distributed parameter systems described by the linear partial differential equation of which the stochastic coefficients are modeled by a Markov chain with finite stages.
First, the stochastic properties of system parameters are specified by the notion of random eigenvalue problems. Secondly, based on the concept of functional analysis, the optimal control for the quadratic control performance is obtained by using the Dynamic Programming Approach.
The remainder of this paper is devoted to give an iterative algorithm for computer implementation in order to solve the basic equation for the optimal control. For the purpose of supporting the theoretical aspects developed here, results of digital simulation studies are also demonstrated.