Algorithms to Solve Stochastic H2H∞ Control with State-Dependent Noise

Abstract EN

This paper is concerned with the algorithms which solve H2/H∞ control problems of stochastic systems with state-dependent noise.

Firstly, the algorithms for the finite and infinite horizon H2/H∞ control of discrete-time stochastic systems are reviewed and studied.

Secondly, two algorithms are proposed for the finite and infinite horizon H2/H∞ control of continuous-time stochastic systems, respectively.

Finally, several numerical examples are presented to show the effectiveness of the algorithms.