Stochastic H∞ control problem with state-dependent noise for multimodeling systems

In this paper, stochastic H_infin state feedback control with state-dependent noise for multimodeling systems is addressed. After establishing the asymptotic structure of the stochastic multi-modeling algebraic Riccati equation (SMARE), an iterative algorithm that is based on Newton´s method is established. A high-order state feedback controller by means of the obtained iterative solution is given and the degradation of the H_infin performance is investigated for the stochastic case for the first time. Finally, in order to demonstrate the efficiency of the proposed algorithm, numerical example is given for practical megawatt-frequency control problem.