H∞ control for a class of stochastic systems via static output feedback controller

This paper considers the problem of H
∞
control for a class of stochastic systems via static output feedback controllers. The solvability condition for this problem is obtained in terms of a matrix inequality, which is usually nonlinear. By introducing some appropriate matrix variables and iterative calculation, we transform the inequality into LMI with respect to the Lyapunov matrix and the static output feedback gain, which can be solved by an iterative procedure. Finally, a numerical example is provided to show the effectiveness of the proposed technique.