Computing the stochastic H^\infty-norm

MaRDI QIDQ6284276zbMATH OpenFDO

Authors Tobias Damm, Peter Benner, Jan Hauth

Publication date 13 March 2017

Mathematics Subject Classification ID

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

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.

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