In this chapter, the robust variance‐constrained H∞ control problem is considered for uncertain stochastic systems with multiplicative noises. The norm‐bounded parametric uncertainties enter into both the system and output matrices. The purpose of the problem is to design a state feedback controller such that, for all admissible parameter uncertainties, 1) the closed‐loop system is exponentially mean‐square quadratically stable; 2) the individual steady‐state variance satisfies given upper bound constraints; and 3) the prescribed noise attenuation level is guaranteed in an H∞ sense with respect to the additive noise disturbances. A general framework is established to solve the addressed multi‐objective problem by using a linear matrix inequality approach, where the required stability, the H∞ characterization and variance constraints are all easily enforced. Within such a framework, two additional optimization problems are formulated, one is to optimize the H∞ performance, and the other is to minimize the weighted sum of the system state variances.


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    Title :

    Variance‐Constrained H∞ Control with Multiplicative Noises


    Contributors:
    Ma, Lifeng (author) / Wang, Zidong (author) / Bo, Yuming (author)


    Publication date :

    2015-03-16


    Size :

    15 pages




    Type of media :

    Article/Chapter (Book)


    Type of material :

    Electronic Resource


    Language :

    English