Optimal control of discrete-time nonlinear stochastic systems with general criteria

A general formulation is presented for finite horizon suboptimal control of a class of discrete-time, nonautonomous, uncertain, nonlinear stochastic systems. Full state information is assumed to be available in controller derivation and optimization is carried out for a variety of performance criteria within a common framework. These performance criteria include H/sub 2/, H/sub /spl infin//, and various dissipative control objectives for such stochastic systems. It is shown that the results obtained in the paper include the previous ones in the literature as special case.