Guaranteed Cost Control for Uncertain Stochastic Systems with State and Input Delays

This paper deals with the problem of guaranteed cost control for uncertain stochastic systems with state and input-delays. Attention is focused on the design of a state feedback controller such that the resulting closed-loop system is mean-square asymptotically stable and guarantees that a given quadratic cost function has an upper bound. In terms of a linear matrix inequality (LMI), a sufficient condition for the solvability of this problem is derived. When the LMI is satisfied, the expression of desired state feedback controller is proposed. A numerical example is given to demonstrate the feasibility of the proposed approach