Algorithms to solve stochastic \(H_2 / H_{\infty}\) control with state-dependent noise (Q1717861): Difference between revisions
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| Language | Label | Description | Also known as |
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| English | Algorithms to solve stochastic \(H_2 / H_{\infty}\) control with state-dependent noise |
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Algorithms to solve stochastic \(H_2 / H_{\infty}\) control with state-dependent noise (English)
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8 February 2019
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Summary: This paper is concerned with the algorithms which solve \(H_2 / H_{\infty}\) control problems of stochastic systems with state-dependent noise. Firstly, the algorithms for the finite and infinite horizon \(H_2 / H_{\infty}\) control of discrete-time stochastic systems are reviewed and studied. Secondly, two algorithms are proposed for the finite and infinite horizon \(H_2 / H_{\infty}\) control of continuous-time stochastic systems, respectively. Finally, several numerical examples are presented to show the effectiveness of the algorithms.
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