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Stochastic H2/H control with state-dependent noise

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2 Author(s)
Chen, Bor-Sen ; Dept. of Electr. Eng., Nat. Tsing Hua Univ., Taiwan, Taiwan ; Weihai Zhang

This paper discusses the stochastic H2/H control problem with state-dependent noise. By means of the stabilization, exact observability and stochastic detectability of stochastic systems, the infinite horizon stochastic H2/H control design is developed. For the finite horizon H2/H control problem, our results generalize the corresponding deterministic ones to the stochastic models. Finally, the observer-based suboptimal stochastic H2/H control is discussed in which the state variables cannot be measured directly, and a feasible design algorithm is proposed.

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Automatic Control, IEEE Transactions on  (Volume:49 ,  Issue: 1 )