Stochastic H>inf/infinf<∞>/inf<Control with (x,u,v)-dependent Noise
Authors:
- Huanshui ZhangHZHuanshui Zhang
- Bor-Sen ChenBCBor-Sen Chen
- 4 October 2006
- conference paper
- Published by Institute of Electrical and Electronics Engineers (IEEE)
- No. 01912216,p. 7352-7357
Abstract
In this paper, finite and infinite horizon stochastic H2/H∞control problems with all state, control input and external disturbance-dependent noise are studied. It is shown that the existence condition of finite horizon stochastic H2/H∞control is equivalent to the solvability of four coupled matrix-valued differential equations, and that of infinite horizon stochastic H2/H∞control is equivalent to the solvability of four coupled matrix-valued algebraic equations.Keywords
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