Title :
Stochastic H2/H∞ control with (x, u, v)-dependent noise: Finite horizon case
Author :
Zhang, Weihai ; Zhang, Huanshui ; Chen, Bor-Sen
Author_Institution :
Sch. of Electron. Inf. & Control Eng., Shandong Inst. of Light Ind., Jinan
Abstract :
In this paper, the finite horizon mixed H2/H∞ control problem is studied for the systems governed by Ito-type nonlinear stochastic differential equations with state, control and external disturbance-dependent noise. It is shown that the mixed H2/H∞ control under consideration is associated with the four cross-coupled Hamilton-Jacobi equations in nonlinear case. Some necessary and/or sufficient conditions for the existence of finite horizon stochastic H2/H∞ controllers are derived. In particular, some previous results on deterministic and stochastic H∞ (H2/H∞) can be viewed as simple corollaries of our main theorems
Keywords :
H∞ control; Jacobian matrices; differential equations; infinite horizon; nonlinear control systems; robust control; stochastic systems; Hamilton-Jacobi equations; Ito-type nonlinear stochastic differential equations; finite horizon control; mixed H2-H∞ control; nonlinear systems; state disturbance-dependent noise; stochastic control; Control systems; Differential equations; Hydrogen; Lighting control; Nonlinear control systems; Nonlinear equations; Riccati equations; Stochastic processes; Stochastic resonance; Stochastic systems; H2/H∞ control; Hamilton-Jacobi equation; Nonlinear stochastic systems;
Conference_Titel :
Control, Automation, Robotics and Vision, 2006. ICARCV '06. 9th International Conference on
Conference_Location :
Singapore
Print_ISBN :
1-4244-0341-3
Electronic_ISBN :
1-4214-042-1
DOI :
10.1109/ICARCV.2006.345327
