Stochastic H2/H∞ control with state-dependent noise

نویسندگان

  • Bor-Sen Chen
  • Weihai Zhang
چکیده

For a system governed by Itô-type nonlinear stochastic differential equation with state-dependent noise, the H2/H∞ control problem is considered, which combines the H2 optimization with the robust H∞ performance. A cross-coupled Hamilton-Jacobi equations associated with the nonlinear stochastic H2/H∞ control are obtained, based on which, sufficient conditions for designing the finite and infinite horizon nonlinear stochastic H2/H∞ controllers are derived. Some results on linear stochastic H2/H∞ control can be viewed as corollaries of this paper.

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عنوان ژورنال:
  • IEEE Trans. Automat. Contr.

دوره 49  شماره 

صفحات  -

تاریخ انتشار 2004