Central suboptimal mean-square H∞ controller design for linear stochastic systems

This paper designs the central finite-dimensional H_∞ controller for linear stochastic time-varying systems with integral-quadratically bounded deterministic disturbances, that is suboptimal for a given threshold γ with respect to a modified Bolza-Meyer quadratic criterion including the attenuation control term with the opposite sign. In contrast to the previously obtained results, the paper reduces the original H_∞ controller problem to the corresponding optimal H₂ controller problem, using the technique proposed in. Numerical simulations are conducted to verify performance of the designed controller for a linear stochastic system against the central suboptimal H_∞ controller available for the corresponding deterministic system.