\(H_{\infty}\) control and filtering of discrete-time stochastic systems with multiplicative noise (Q5930063)
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scientific article; zbMATH DE number 1587346
| Language | Label | Description | Also known as |
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| English | \(H_{\infty}\) control and filtering of discrete-time stochastic systems with multiplicative noise |
scientific article; zbMATH DE number 1587346 |
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\(H_{\infty}\) control and filtering of discrete-time stochastic systems with multiplicative noise (English)
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5 August 2002
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The paper examines linear discrete-time systems with stochastic uncertainties in state-space representations, and seeks an \(H^\infty\) type solution. The novelty in this paper, compared to prior contributions to the problem, is that here the optimization is considered on a finite horizon, thus, the end-point effect should be taken into account; in addition, the framework allows an output containing state dependent uncertainties. As tools, the paper develops a finite horizon version of the bounded real lemma, which is used in the analysis of a stochastic filtering via the adjoint system. A concrete example accompanies the abstract developments.
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\(H^\infty\)-control
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multiplicative white noise
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filtering
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discrete-time systems
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end-point effect
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finite horizon
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bounded real lemma
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