Algorithms to Solve Stochastic H2/H∞ Control with State-Dependent Noise

This paper is concerned with the algorithms which solve H2/H∞ control problems of stochastic systems with state-dependent noise. Firstly, the algorithms for the finite and infinite horizon H2/H∞ control of discrete-time stochastic systems are reviewed and studied. Secondly, two algorithms are propos...

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Bibliographic Details
Published inMathematical problems in engineering Vol. 2014; no. 2014; pp. 1 - 9
Main Authors Gao, Ming, Zhang, Weihai, Fu, Changdi
Format Journal Article
LanguageEnglish
Published Cairo, Egypt Hindawi Puplishing Corporation 2014
Hindawi Publishing Corporation
Hindawi Limited
Subjects
Algorithms
Control systems
Convex analysis
Discrete time systems
Euclidean space
H-infinity control
Mathematical problems
Noise
Noise control
Optimization
Stochastic models
Stochastic systems
Studies
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Summary:This paper is concerned with the algorithms which solve H2/H∞ control problems of stochastic systems with state-dependent noise. Firstly, the algorithms for the finite and infinite horizon H2/H∞ control of discrete-time stochastic systems are reviewed and studied. Secondly, two algorithms are proposed for the finite and infinite horizon H2/H∞ control of continuous-time stochastic systems, respectively. Finally, several numerical examples are presented to show the effectiveness of the algorithms.
ISSN:1024-123X
1563-5147
DOI:10.1155/2014/205967