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| Stochastic H2/H∞ Control with Random Coefficients |
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Citation： |
Meijiao WANG.Stochastic H2/H∞ Control with Random Coefficients[J].Chinese Annals of Mathematics B,2013,34(5):733~752 |
| Page view： 1864
Net amount： 1347 |
Authors： |
Meijiao WANG; |
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| Abstract： |
This paper is concerned with the mixed H2/H∞ control for stochastic systems
with random coefficients, which is actually a control combining the H2 optimization with
the H∞ robust performance as the name of H2/H∞ reveals. Based on the classical theory of
linear-quadratic (LQ, for short) optimal control, the sufficient and necessary conditions for
the existence and uniqueness of the solution to the indefinite backward stochastic Riccati
equation (BSRE, for short) associated with H∞ robustness are derived. Then the sufficient
and necessary conditions for the existence of the H2/H∞ control are given utilizing a pair
of coupled stochastic Riccati equations. |
Keywords： |
Stochastic H∞ control, Stochastic H2/H∞ control, Linear quadratic
(LQ) optimal control, Indefinite backward stochastic Riccati equation |
Classification： |
60H15, 35R60, 34F05, 93E20 |
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