Title :
A Riccati equation for stochastic H∞
Author :
Hinrichsen, D. ; Pritchard, A.J.
Author_Institution :
Inst. fur Dynamische Syst., Univ. Bremen, Bremen, Germany
Abstract :
In this note we report on a new kind of algebraic Riccati equation which we encountered when studying an H∞ type problem of disturbance attenuation for stochastic linear systems. The same equation occurs in the analysis of stability radii of linear systems with both deterministic and stochastic uncertainties. The associated linear matrix inequality is also considered.
Keywords :
H∞ control; Riccati equations; linear matrix inequalities; linear systems; stability; stochastic systems; uncertain systems; algebraic Riccati equation; deterministic uncertainty; disturbance attenuation; linear matrix inequality; stability analysis; stochastic H∞ control; stochastic linear system; stochastic uncertainty; Linear matrix inequalities; Mathematical model; Riccati equations; Stability criteria; Stochastic processes; Stochastic systems; Symmetric matrices; LMI; Riccati equation; Robust stability; Stochastic systems;
Conference_Titel :
Control Conference (ECC), 1997 European
Conference_Location :
Brussels
Print_ISBN :
978-3-9524269-0-6
