Some remarks on stochastic H∞ control of linear and nonlinear Itô-type differential systems

Author

Zhang Weihai ; Chen Bor-Sen ; Tang Huaibin

Author_Institution

Coll. of Inf. & Electr. Eng., Shandong Univ. of Sci. & Technol., Qingdao, China

fYear

2011

fDate

22-24 July 2011

Firstpage

5958

Lastpage

5963

Abstract

This paper studies linear and nonlinear stochastic H_∞ control of Itô-type stochastic differential systems with all the state, control input and external disturbance-dependent noise. For general linear stochastic systems with random coefficients, it is shown that the mixed H₂/H_∞ design as well as the sole H_∞ design is associated with the solvability of some coupled backward stochastic differential equations (BSDEs). By means of Hamilton-Jacobi inequalities, the nonlinear stochastic H_∞ control with deterministic coefficients and (x, u, v)-dependent noise is extensively investigated.

Keywords

H^∞ control; Jacobian matrices; control system synthesis; differential equations; linear systems; nonlinear control systems; stochastic systems; Hamilton-Jacobi inequalities; control input; coupled backward stochastic differential equations; deterministic coefficients; external disturbance-dependent noise; general linear systems; mixed H₂-H_∞ design; nonlinear Itô-type differential systems; random coefficients; stochastic H_∞ control; Control systems; Differential equations; Indium tin oxide; Noise; Stochastic processes; Stochastic systems; Tin; Backward stochastic differential equations; H∞ control; H2/H∞ control; Linear stochastic systems; Nonlinear stochastic systems;

fLanguage

English

Publisher

ieee

Conference_Titel

Control Conference (CCC), 2011 30th Chinese

Conference_Location

Yantai

ISSN

1934-1768

Print_ISBN

978-1-4577-0677-6

Electronic_ISBN

1934-1768

Type

conf

Filename

6001222