State-feedback control of systems with multiplicative noise via linear matrix inequalities
Systems & Control Letters
Stability Radii of Systems with Stochastic Uncertainty and Their Optimization by Output Feedback
SIAM Journal on Control and Optimization
Brief Continuous-time state-feedback H2-control of Markovian jump linear systems via convex analysis
Automatica (Journal of IFAC)
A survey of stability of stochastic systems
Automatica (Journal of IFAC)
Brief paper: Almost sure exponential stabilisation of stochastic systems by state-feedback control
Automatica (Journal of IFAC)
Brief paper: Output feedback control of a class of stochastic hybrid systems
Automatica (Journal of IFAC)
Non-fragile control of uncertain Markovian jumping linear systems subject to actuator saturation
CCDC'09 Proceedings of the 21st annual international conference on Chinese control and decision conference
H2optimal control for a wide class of discrete-time linear stochastic systems
International Journal of Systems Science
Controller design for Markov jumping systems subject to actuator saturation
Automatica (Journal of IFAC)
| Hi-index | 22.15 |
The aim of the present paper is to provide an optimal solution to the H^2 state-feedback and output-feedback control problems for stochastic linear systems subjected both to Markov jumps and to multiplicative white noise. It is proved that in the state-feedback case the optimal solution is a static gain which is also optimal in the class of all higher-order controllers. In the output-feedback case the optimal H^2 controller has the same order as the given stochastic system. The realization of the optimal controllers depend on the stabilizing solutions of some appropriate systems of Riccati-type coupled equations. An effective iterative convergent algorithm to compute these stabilizing solutions is also presented. The paper gives some illustrative numerical example allowing to compare the results obtained by the proposed design approach with the ones presented in the recent control literature.