Title :
Stochastic H2/H∞ control with state-dependent noise
Author :
Chen, Bor-Sen ; Zhang, Weihai
Author_Institution :
Dept. of Electr. Eng., Nat. Tsing Hua Univ., Taiwan, Taiwan
Abstract :
This paper discusses the stochastic H2/H∞ control problem with state-dependent noise. By means of the stabilization, exact observability and stochastic detectability of stochastic systems, the infinite horizon stochastic H2/H∞ control design is developed. For the finite horizon H2/H∞ control problem, our results generalize the corresponding deterministic ones to the stochastic models. Finally, the observer-based suboptimal stochastic H2/H∞ control is discussed in which the state variables cannot be measured directly, and a feasible design algorithm is proposed.
Keywords :
H∞ control; Riccati equations; control system synthesis; noise; observability; observers; optimisation; stability; stochastic systems; coupled Riccati equations; infinite horizon stochastic control design; observer-based stochastic control; optimization problem; state-dependent noise; stochastic H2/H∞ control; stochastic detectability; stochastic systems observability; stochastic systems stabilization; Control systems; Filtering; Noise robustness; Nonlinear filters; Observability; Riccati equations; Robust control; Stochastic processes; Stochastic resonance; Stochastic systems;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.2003.821400
