Stochastic H 2 Optimal Control

Vasile Dragan, Toader Morozan and Adrian-Mihail Stoica
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Vasile Dragan: Institute of Mathematics of the Romanian Academy
Toader Morozan: Institute of Mathematics of the Romanian Academy
Adrian-Mihail Stoica: University Politechnica of Bucharest

Chapter Chapter 7 in Mathematical Methods in Robust Control of Linear Stochastic Systems, 2013, pp 287-326 from Springer

Abstract: Abstract In this chapter the problem of H 2-control of a continuous-time linear system subject to Markovian jumping and independent multiplicative and additive white noise perturbations is considered. Several kinds of H 2 type of performance criteria (often called H 2-norms) are introduced and characterized via solutions of some suitable linear equations on the spaces of symmetric matrices.

Keywords: Kalman Filter; Riccati Equation; Stochastic System; Multiplicative Noise; Markovian Jump (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4614-8663-3_7

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DOI: 10.1007/978-1-4614-8663-3_7

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