\(H^{2}\) optimal control for linear stochastic systems
type: Item
instance of: scholarly article
title: \(H^{2}\) optimal control for linear stochastic systems
zbMATH Open document ID: 1060.93107
author: Toader Morozan
author: Vasile Dragan
author: Adrian-Mihail Stoica
published in: Automatica
publication date: 2004-10-01T00:00:00Z
review text: The aim of the paper is to provide an optimal solution to the \(H^2\) state-feedback and output-feedback control problems for stochastic linear systems subjected both to Markov jumps and to multiplicative white noise. It is proved that in the state-feedback case, the optimal solution is a static gain which is also optimal in the class of all higher-order controllers. In the output-feedback case, the optimal \(H^2\) controller has the same order as the given stochastic system. The realization of the optimal controllers depend on the stabilizing solutions of some appropriate systems of Riccati-type coupled equations. An effective iterative convergent algorithm to compute these stabilizing solutions is also presented. The paper gives some illustrative numerical examples allowing to compare the results obtained by the proposed design approach with the ones presented in the recent control literature.
reviewed by: Vyacheslav A. Vasiliev
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 93D15
Mathematics Subject Classification ID: 93E15
Mathematics Subject Classification ID: 93B36
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 2105467
zbMATH Keywords: \(H^2\) optimal control
zbMATH Keywords: stochastic systems
zbMATH Keywords: Markov jump parameters
zbMATH Keywords: white noise
zbMATH Keywords: Riccati equations
zbMATH Keywords: numerical algorithms
zbMATH Keywords: stabilization
zbMATH Keywords: output-feedback
zbMATH Keywords: stabilizing solutions
MaRDI profile type: Publication
full work available at URL: j.automatica.2004.01.023
OpenAlex ID: W2091804515
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DOI: 10.1016/J.AUTOMATICA.2004.01.023
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description: scientific article; zbMATH DE number 2105467