Finite Horizon [Formula Omitted] Control for Discrete-Time Stochastic Systems With Markovian Jumps and Multiplicative Noise

In this note, we consider the finite horizon mixed [Formula Omitted] control problem for discrete-time stochastic linear systems subject to Markov jump parameters and multiplicative noise. Firstly, we derive a stochastic bounded real lemma (SBRL), which is used to establish a necessary and sufficien...

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Published inIEEE transactions on automatic control Vol. 55; no. 5; p. 1185
Main Authors Hou, Ting, Zhang, Weihai, Ma, Hongji
Format Journal Article
LanguageEnglish
Published New York The Institute of Electrical and Electronics Engineers, Inc. (IEEE) 01.05.2010
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ISSN0018-9286
1558-2523
DOI10.1109/TAC.2010.2041987

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Summary:In this note, we consider the finite horizon mixed [Formula Omitted] control problem for discrete-time stochastic linear systems subject to Markov jump parameters and multiplicative noise. Firstly, we derive a stochastic bounded real lemma (SBRL), which is used to establish a necessary and sufficient condition for the existence of the mixed [Formula Omitted] control via the solvability of four coupled difference matrix-valued recursions (CDMRs). Moreover, a state feedback [Formula Omitted] controller is designed by means of the solutions of CDMRs.
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ISSN:0018-9286
1558-2523
DOI:10.1109/TAC.2010.2041987