DocumentCode
1401121
Title
Finite Horizon 
Control for Discrete-Time Stochastic Systems With Markovian Jumps and Multiplicative Noise
Author
Hou, Ting ; Zhang, Weihai ; Ma, Hongji
Author_Institution
Coll. of Inf. & Electr. Eng., Shandong Univ. of Sci. & Technol., Qingdao, China
Volume
55
Issue
5
fYear
2010
fDate
5/1/2010 12:00:00 AM
Firstpage
1185
Lastpage
1191
Abstract
In this note, we consider the finite horizon mixed H 2/H ∞ 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 H 2/H ∞ control via the solvability of four coupled difference matrix-valued recursions (CDMRs). Moreover, a state feedback H 2/H ∞ controller is designed by means of the solutions of CDMRs.
Keywords
H∞ control; Markov processes; control system synthesis; discrete time systems; linear systems; matrix algebra; state feedback; stochastic systems; Markovian jumps; coupled difference matrix-valued recursions; discrete-time stochastic systems; finite horizon H2/H∞ control; multiplicative noise; stochastic bounded real lemma; Control systems; Infinite horizon; Investments; Linear feedback control systems; Linear systems; Nonlinear control systems; Portfolios; Stochastic resonance; Stochastic systems; Sufficient conditions; $H_{2}/H_{infty}$
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.2010.2041987
Filename
5404369
Link To Document