Robust H ∞ control for a generic linear rational expectations model of economy

• Published in: Applied mathematics and computation Vol. 216; no. 7; pp. 2145 - 2154
• Main Authors: Li, Minghao, Zhou, Wuneng, Lu, Hongqian, Fang, Jian’an
• Format: Journal Article
• Language: English
• Published: Amsterdam Elsevier Inc 01.06.2010; Elsevier
• Subjects: Economic model; Exact sciences and technology; Linear Matrix Inequality (LMI); Linear rational expectations model; Mathematical analysis; Mathematics; Numerical analysis; Numerical analysis. Scientific computation; Partial differential equations; Robust control; Sciences and techniques of general use; Time-delay systems; Robust control; Time-delay systems; Economic model; Linear rational expectations model; Linear Matrix Inequality (LMI); Numerical analysis; Applied mathematics; Delay system; Linear model
• ISSN: 0096-3003; 1873-5649
• DOI: 10.1016/j.amc.2010.03.049

Large time-delay and small disturbance attenuation are very important for macroeconomic system. This paper is concerned with the problem of robust H ∞ control with large time-delay and small disturbance attenuation for a generic linear rational expectations model of economy with uncertainties, time-varying delay and random shocks. The norm bounded uncertainties are used to describe the uncertainties of economic system. The concept of two levels of conservatism and the approach of Parameters Weak Coupling Linear Matrix Inequalities (PWCLMIs) are developed in this paper. The result is presented in terms of PWCLMIs in this note. Large time-delay and small disturbance attenuation are achieved without increasing conservatism of result. Furthermore, according to the robust H ∞ result, one will obtain various results readily by employing different games. An example is given to show the benefit of the presented approach.