Stochastic \(H_{2}/H_{\infty }\) control for discrete-time systems with state and disturbance dependent noise. (English) Zbl 1137.93057
Summary: This paper is to study the discrete-time stochastic \(H_{2}/H_{\infty }\) control with state and external disturbance dependent noise. A necessary and sufficient condition for the existence of \(H_{2}/H_{\infty }\) control is presented, which transforms the \(H_{2}/H_{\infty }\) controller design into solving four coupled matrix-valued equations. Moreover, a recursive algorithm for solving the four coupled matrix-valued equations is also given.
MSC:
| 93E20 | Optimal stochastic control |
| 93E03 | Stochastic systems in control theory (general) |
| 93C55 | Discrete-time control/observation systems |
| 93B51 | Design techniques (robust design, computer-aided design, etc.) |
Keywords:
discrete-time stochastic systems; coupled matrix-valued equations; \(H_{2}/H_{\infty}\) controlReferences:
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