Algorithms to solve stochastic \(H_2 / H_{\infty}\) control with state-dependent noise (Q1717861)

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.