H ∞-Control for Markovian Jumping Linear Systems with Parametric Uncertainty

P. Shi and E. K. Boukas
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P. Shi: University of South Australia
E. K. Boukas: Ecole Polytechnique de Montréal, and GERAD

Journal of Optimization Theory and Applications, 1997, vol. 95, issue 1, No 4, 75-99

Abstract: Abstract This paper studies the problem of H ∞-control for linear systems with Markovian jumping parameters. The jumping parameters considered here are two separable continuous-time, discrete-state Markov processes, one appearing in the system matrices and one appearing in the control variable. Our attention is focused on the design of linear state feedback controllers such that both stochastic stability and a prescribed H ∞-performance are achieved. We also deal with the robust H ∞-control problem for linear systems with both Markovian jumping parameters and parameter uncertainties. The parameter uncertainties are assumed to be real, time-varying, norm-bounded, appearing in the state matrix. Both the finite-horizon and infinite-horizon cases are analyzed. We show that the control problems for linear Markovian jumping systems with and without parameter uncertainties can be solved in terms of the solutions to a set of coupled differential Riccati equations for the finite-horizon case or algebraic Riccati equations for the infinite-horizon case. Particularly, robust H ∞-controllers are also designed when the jumping rates have parameter uncertainties.

Keywords: H ∞-control; Markovian jumping parameters; Riccati inequalities; state feedback; uncertain systems (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (8)

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DOI: 10.1023/A:1022683311870

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