Computing the stochastic H^\infty-norm

arXiv1703.04440MaRDI QIDQ6284276FDOQ6284276

P. Benner, Tobias Damm, Jan Hauth

Publication date: 13 March 2017

Abstract: The stochastic $H^{i}nfty$-norm is defined as the $L^2$-induced norm of the input-output operator of a stochastic linear system. Like the deterministic $H^{i}nfty$-norm it is characterised by a version of the bounded real lemma, but without a frequency domain description or a Hamiltonian condition. Therefore, we base its computation on a parametrised algebraic Riccati-type matrix equation.

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Stochastic systems and control (93Exx)

This page was built for publication: Computing the stochastic $H^\infty$-norm

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6284276)