Stochastic>tex<$H_2/H_infty $>/tex<Control WithState-Dependent Noise
- 14 January 2004
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 49 (1), 45-57
- https://doi.org/10.1109/tac.2003.821400
Abstract
This paper discusses the stochastic H/sub 2//H/sub /spl infin// control problem with state-dependent noise. By means of the stabilization, exact observability and stochastic detectability of stochastic systems, the infinite horizon stochastic H/sub 2//H/sub /spl infin// control design is developed. For the finite horizon H/sub 2//H/sub /spl infin// control problem, our results generalize the corresponding deterministic ones to the stochastic models. Finally, the observer-based suboptimal stochastic H/sub 2//H/sub /spl infin// control is discussed in which the state variables cannot be measured directly, and a feasible design algorithm is proposed.Keywords
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