Technical communique: Infinite horizon H2/H∞ control for stochastic systems with Markovian jumps

Authors:
Yulin Huang;Weihai Zhang;Gang Feng
Affiliations:
School of Electronic Information and Control Engineering, Shandong Institute of Light Industry, Jinan 250353, PR China;College of Information and Electrical Engineering, Shandong University of Science and Technology, Qingdao 266510, PR China;Department of Manufacturing Engineering and Engineering Management, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong
Venue:
Automatica (Journal of IFAC)
Year:
2008

Citing 9
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Abstract

This paper studies robust H"2/H"~ control problem for systems subjected to multiplicative noise and Markovian parameter jumps. A necessary/sufficient condition for the existence of H"2/H"~ control is presented by means of two coupled algebraic Riccati equations, respectively. Finally, a suboptimal H"2/H"~ controller design algorithm is also obtained by solving a convex optimization problem.