UNSPECIFIED (1998) Stochastic H infinity. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 36 (5). pp. 1604-1638. ISSN 0363-0129

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Abstract

We consider stochastic linear plants which are controlled by dynamic output feedback and subjected to both deterministic and stochastic perturbations. Our objective is to develop an H-infinity-type theory for such systems. We prove a bounded real lemma for stochastic systems with deterministic and stochastic perturbations. This enables us to obtain necessary and sufficient conditions for the existence of a stabilizing compensator which keeps the effect of the perturbations on the to-be-controlled output below a given threshhold gamma > 0. In the deterministic case, the analogous conditions involve two uncoupled linear matrix inequalities, but in the stochastic setting we obtain coupled nonlinear matrix inequalities instead. The connection between H-infinity theory and stability radii is discussed and leads to a lower bound for the radii, which is shown to be tight in some special cases.

Item Type:	Journal Article
Subjects:	T Technology > TL Motor vehicles. Aeronautics. Astronautics Q Science > QA Mathematics
Journal or Publication Title:	SIAM JOURNAL ON CONTROL AND OPTIMIZATION
Publisher:	SIAM PUBLICATIONS
ISSN:	0363-0129
Date:	September 1998
Volume:	36
Number:	5
Number of Pages:	35
Page Range:	pp. 1604-1638
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/15680

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