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Title: | Robust variance-constrained H∞ control for stochastic systems with multiplicative noises |
Authors: | Wang, Z Yang, F Ho, DWC Liu, X |
Keywords: | Stability;H∞ performance;Variance constraint;Stochastic system;Multiplicative noises;Linear matrix inequality |
Issue Date: | 2007 |
Publisher: | Elsevier |
Citation: | Journal of Mathematical Analysis and Applications, 328(1): 487-502, Apr 2007 |
Abstract: | In this paper, 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 multiobjective problem by using a linear matrix inequality (LMI) 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. A numerical example is provided to illustrate the effectiveness of the proposed design algorithm. |
Description: | This is the post print version of the article. The official published version can be obtained from the link below - Copyright 2007 Elsevier Ltd. |
URI: | http://bura.brunel.ac.uk/handle/2438/4943 |
DOI: | http://dx.doi.org/10.1016/j.jmaa.2006.05.067 |
ISSN: | 0022-247X |
Appears in Collections: | Computer Science Dept of Computer Science Research Papers |
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