Abstract
This paper investigates the infinite horizon H2/H∞ control problem for stochastic systems with (x,u,v)-dependent noise and Markov jumps. Under the condition of exact detectability, a necessary and sufficient condition for the infinite horizon stochastic H2/H∞ control is derived in terms of four sets of coupled matrix-valued equations. The relationship between the infinite horizon H2/H∞ control and the Nash equilibrium point is discussed when disturbance does or does not enter into the diffusion term. Moreover, a heuristic iteration algorithm is proposed to solve coupled stochastic Riccati equations for the first time.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
