Mixed \(H_ 2| H_ \infty\) control in a stochastic framework (Q1329954)

The authors consider the linear system with two inputs and one output described by Itô stochastic differential equation \[ dx(t)= Ax(t) dt+ Gw(t) dt+ Fdv(t),\quad z(t)= Cx(t),\leqno(1) \] where \(A\), \(C\), \(G\) and \(F\) are constant matrices and vectors. \(A\) is stable, \(v(t)\) is a white- noise stochastic process and represents errors e.g. resulting from measurement noise, \(w(t)\) can be deterministic or stochastic input. The objective is to minimize the effect of these signals on the output of the system. The authors investigate a mixed cost function which combines the \(H_ 2\) and the \(H_ \infty\) norm in a stochastic framework. The cost function is evaluated for both the finite-horizon and the infinite- horizon case. In one section of the paper, the considered cost function is minimized with state feedback using \(H_ \infty\) techniques.