Nonlinear Stochastic H∞ Control with Markov Jumps and (x,u,v)‎-Dependent Noise : Finite and Infinite Horizon Cases

الملخص EN

This paper is concerned with the H∞ control problem for nonlinear stochastic Markov jump systems with state, control, and external disturbance-dependent noise.

By means of inequality techniques and coupled Hamilton-Jacobi inequalities, both finite and infinite horizon H∞ control designs of such systems are developed.

Two numerical examples are provided to illustrate the effectiveness of the proposed design method.