“…Let us go back to the reduced LQ problem 3.3 for the Markov jump system (18) and the LQ cost (19), where the matricesĀ, C, and D are defined by (15) and (16). The Cholesky decompositions for all φ ∈ M in (16) requires heavy computational cost, but the weighting functions C and D appear only in R and V in the forms C C and D D. Hence, to compute an optimal control input u opt , we do not need the Cholesky decompositions in (16). Although we still need C to check the stochastic detectability of (C,Ā), we see from Proposition 4.7 below that it is enough to test the stochastic detectability of (C C,Ā) if C C is positive definite.…”