Finite horizon H 2/H ∞ control of time-varying stochastic systems with Markov jumps and (x, u, v)-dependent noise
- Author(s): Ming Gao 1 ; Li Sheng 2 ; Weihai Zhang 1
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View affiliations
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Affiliations:
1:
College of Electrical Engineering and Automation, Shandong University of Science and Technology, Qingdao 266590, People's Republic of China;
2: College of Information and Control Engineering, China University of Petroleum (East China), Qingdao 266580, People's Republic of China
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Affiliations:
1:
College of Electrical Engineering and Automation, Shandong University of Science and Technology, Qingdao 266590, People's Republic of China;
- Source:
Volume 8, Issue 14,
18 September 2014,
p.
1354 – 1363
DOI: 10.1049/iet-cta.2013.1070 , Print ISSN 1751-8644, Online ISSN 1751-8652
© The Institution of Engineering and Technology
Received
10/08/2013,
Accepted
15/03/2014,
Revised
27/02/2014,
Published
04/07/2014
This study investigates the finite horizon H 2/H ∞ control of time-varying stochastic Markov jump systems (SMJSs) with state, control and disturbance-dependent noise. Firstly, the stochastic bounded real lemma of SMJSs is established, which by itself has theoretical importance. Secondly, several necessary and sufficient conditions for H 2/H ∞ control of SMJSs are proposed by means of coupled generalised differential Riccati equations. Finally, two numerical examples are given to show the effectiveness of the obtained results.
Inspec keywords: Riccati equations; H∞ control; stochastic systems; Markov processes; differential equations
Other keywords: time-varying stochastic Markov jump systems; finite horizon H infinity control; disturbance-dependent noise; coupled generalised differential Riccati equations; stochastic bounded real lemma; SMJS
Subjects: Linear algebra (numerical analysis); Differential equations (numerical analysis); Optimal control; Time-varying control systems
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