Brief paper: Stochastic H2/H∞ control for discrete-time systems with state and disturbance dependent noise

Authors:
Weihai Zhang;Yulin Huang;Huanshui Zhang
Affiliations:
College of Information and Electrical Engineering, Shandong University of Science and Technology, Qingdao 266510, PR China;School of Electronic Information and Control Engineering, Shandong Institute of Light Industry, Jinan 250100, PR China;School of Control Science and Engineering, Shandong University, Jinan 250061, PR China
Venue:
Automatica (Journal of IFAC)
Year:
2007

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Abstract

This paper is to study the discrete-time stochastic H"2/H"~ control with state and external disturbance dependent noise. A necessary and sufficient condition for the existence of H"2/H"~ control is presented, which transforms the H"2/H"~ controller design into solving four coupled matrix-valued equations. Moreover, a recursive algorithm for solving the four coupled matrix-valued equations is also given.