Stochastic H2/H∞ control for continuous-time Markov jump linear systems with (x, u, v)-dependent noise based on Nash game approach

摘要：

In this paper, finite and infinite horizon stochastic H2/H∞ control problems with all state, control input and external disturbance-dependent noise are studied. It is shown that the existence condition of finite horizon stochastic H2/H∞ control is equivalent to the solvability of four coupled differential Riccati equations, and that of infinite horizon stochastic H2/H∞ control is equivalent to the solvability of four coupled algebraic Riccati equations.

关键词： Differential games Markov jump linear systems Stochastic H2/H∞ control

作者: ZHU Huainian ZHANG Chengke BIN Ning ZHOU Haiying

作者单位: School of Management, Guangdong University of Technology, Guangzhou 510520, China School of Economics & Commence, Guangdong University of Technology, Guangzhou 510520, China

会议类型: 国际会议

会议名称: The 31st Chinese Control Conference(第三十一届中国控制会议)

会议地点: 合肥

会议语种:英文

页码: 2565-2570

在线出版日期: 2012-07-01（万方平台首次上网日期，不代表论文的发表时间）