Finite horizon H2/H∞ control for SDEs with infinite Markovian jumps

被引：17
|
作者：
Hou Ting [1 ,2 ]
Liu Yueying [2 ]
Deng Feiqi [3 ]
机构：
[1] Shandong Normal Univ, Sch Math & Stat, Jinan 250358, Shandong, Peoples R China
[2] Shandong Univ Sci & Technol, Coll Math & Syst Sci, Qingdao 266590, Shandong, Peoples R China
[3] South China Univ Technol, Sch Automat Sci & Engn, Guangzhou 510641, Guangdong, Peoples R China
来源：
NONLINEAR ANALYSIS-HYBRID SYSTEMS | 2019年 / 34卷
基金：
中国国家自然科学基金;
关键词：
Stochastic differential equations; Finite horizon; H-2/H-infinity control; Coupled generalized difference Riccati equations; Infinite Markovian jumps; DISCRETE-TIME-SYSTEMS; STOCHASTIC-SYSTEMS; DESIGN; STATE;
D O I：
10.1016/j.nahs.2019.05.009
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This paper concerns the finite horizon H-2/H-infinity control for a broad class of linear It (o) over cap stochastic differential equations (SDEs) with infinite Markovian jumps and (x, u, v)-dependent noise. We derive stochastic bounded real lemma (SBRL) and linear quadratic (LQ) optimal control result for the considered system at first. Further, a necessary and sufficient condition, which is represented by the solution of a countably infinite set of coupled generalized difference Riccati equations (GDREs), is proposed for the existence of the mixed H-2/H-infinity control. Moreover, an iterative algorithm is given to solve GDREs. (C) 2019 Elsevier Ltd. All rights reserved.
引用
收藏
页码：108 / 120
页数：13
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