• DocumentCode
    3121018
  • Title

    H2 Optimal State-Feedback Control for Systems with Finite Jumps Corrupted by White Noise

  • Author

    Dragan, V. ; Stoica, A.M.

  • Author_Institution
    Institute of Mathematics of the Romanian Academy, P.O. Box 1– 764, Ro-70700, Bucharest, Romania vdra-gan@rdslink.ro
  • fYear
    2005
  • fDate
    15-15 Dec. 2005
  • Firstpage
    5210
  • Lastpage
    5214
  • Abstract
    The state–feedback H2optimization problem for a class of systems with finite jumps subjected to additive and to multiplicative white noise is considered. It is proved that the optimal solution can be expressed in terms of the stabilizing solution of an appropriate system of coupled Riccati–type equations. An iterative convergent algorithm to compute this stabilizing solution is also presented. The theoretical developments are illustrated by two numerical examples.
  • Keywords
    Adaptive control; Additive white noise; Control systems; Control theory; Covariance matrix; Iterative algorithms; Optimal control; Riccati equations; Stochastic systems; White noise;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 2005 and 2005 European Control Conference. CDC-ECC '05. 44th IEEE Conference on
  • Conference_Location
    Seville, Spain
  • Print_ISBN
    0-7803-9567-0
  • Type

    conf

  • DOI
    10.1109/CDC.2005.1582989
  • Filename
    1582989
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3121018