Abstract
AbstractIn this paper we consider the infinite horizon H2/H∞ control problem for discrete-time time-varying linear systems subject to Markov jump parameters and state-multiplicative noises. A stochastic bounded real lemma is firstly developed for a class of discrete-time time-varying Markov jump systems with state- and disturbance-multiplicative noises. Based on which, a necessary and sufficient condition is provided for the existence of linear state feedback H2/H∞ controller in terms of four coupled discrete-time Riccati difference equations. Finally, a concluding remark and some open topics are proposed.
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