Robust and optimal control
SIAM Journal on Control and Optimization
Stationary Filter For Continuous-Time Markovian Jump Linear Systems
SIAM Journal on Control and Optimization
Automatica (Journal of IFAC)
Automatica (Journal of IFAC)
Automatica (Journal of IFAC)
Discrete time mean-field stochastic linear-quadratic optimal control problems
Automatica (Journal of IFAC)
Hi-index | 22.15 |
In this paper we consider the infinite horizon H"2/H"~ control problem for discrete-time time-varying linear systems subject to Markov jump parameters and state-multiplicative noise. A stochastic version of a bounded real lemma is firstly developed for a general class of discrete-time time-varying Markov jump systems with state- and disturbance-multiplicative noise. By which we present a necessary and sufficient condition for the solvability of the H"2/H"~ control problem in terms of four coupled discrete-time Riccati equations. Moreover, the obtained design is applied to a macroeconomic problem to verify its effectiveness.