TY - JOUR
T1 - Nonlinear Stochastic H2/H∞ Control with (x, u, v)-Dependent Noise
T2 - Infinite Horizon Case
AU - Zhang, Weihai
AU - Feng, Gang
PY - 2008/6
Y1 - 2008/6
N2 - For general nonlinear stochastic Ito systems with state, control and external disturbance-dependent noise, the infinite horizon mixed H2/H∞ control is studied. It turns out that in order to solve the H2/H∞ control, one only needs to solve four cross-coupled Hamilton-Jacobi equations. A necessary condition and a sufficient condition for the existence of the solution of H2/H∞ control is respectively presented, which extends the previous results to more general models.
AB - For general nonlinear stochastic Ito systems with state, control and external disturbance-dependent noise, the infinite horizon mixed H2/H∞ control is studied. It turns out that in order to solve the H2/H∞ control, one only needs to solve four cross-coupled Hamilton-Jacobi equations. A necessary condition and a sufficient condition for the existence of the solution of H2/H∞ control is respectively presented, which extends the previous results to more general models.
KW - H2/ H∞ control
KW - Hamilton-Jacobi equation
KW - Nash equilibrium point
KW - Nonlinear systems
KW - Stochastic systems
UR - http://www.scopus.com/inward/record.url?scp=51749109585&partnerID=8YFLogxK
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-51749109585&origin=recordpage
U2 - 10.1109/TAC.2008.921024
DO - 10.1109/TAC.2008.921024
M3 - 21_Publication in refereed journal
VL - 53
SP - 1323
EP - 1328
JO - IEEE Transactions on Automatic Control
JF - IEEE Transactions on Automatic Control
SN - 0018-9286
IS - 5
ER -