Finite-time guaranteed cost control for linear stochastic systems

This paper deals with finite-time guaranteed cost control for continuous-time linear stochastic systems. First, a novel definition on finite-time guaranteed cost control for linear stochastic systems is given. Second, a sufficient condition for the existence of state feedback controller is derived in terms of linear matrix inequalities (LMIs). Third, finite-time guaranteed cost control with δ-stability constraint is investigated and a sufficient condition is obtained. Furthermore, the related optimization problem is also offered to minimize the guaranteed cost performance bound. Finally, an illustrative example is presented to show the validity of the proposed method.