Stochastic H2/H control with (x, u, v)-dependent noise: Finite horizon case
نویسندگان
چکیده
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 matrix-valued differential equations, and that of infinite horizon stochastic H2/H∞ control is equivalent to the solvability of four coupled matrix-valued algebraic equations.
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