Central suboptimal mean-square controller design for linear stochastic time-varying systems

Michael V. Basin, Santiago Elvira-Ceja and Edgar N. Sanchez

International Journal of Systems Science, 2011, vol. 42, issue 5, 821-827

Abstract: This article designs the central finite-dimensional H∞ controller for linear stochastic time-varying systems with integral-quadratically bounded deterministic disturbances, that is suboptimal for a given threshold γ with respect to a modified Bolza–Meyer quadratic criterion including the attenuation control term with the opposite sign. In contrast to the previously obtained results, this article reduces the original H∞ controller problem to the corresponding optimal H2 controller problem, using the technique proposed in Doyle et al. (Doyle, J.C., Glover, K., Khargonekar, P.P., and Francis, B.A. (1989), ‘State-space Solutions to Standard H2 and H∞ Control Problems’, IEEE Transactions on Automatic Control, 34, 831–847). Numerical simulations are conducted to verify the performance of the designed controller for a linear stochastic system against the central suboptimal H∞ controller available for the corresponding deterministic system.

Date: 2011
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DOI: 10.1080/00207721.2010.543493

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