Robust variance-constrained H_∞ control for stochastic systems with multiplicative noises

In this paper, the robust variance-constrained H_∞ control problem is considered for uncertain stochastic systems with multiplicative noises. The norm-bounded parametric uncertainties enter into both the system and output matrices. The purpose of the problem is to design a state feedback controller such that, for all admissible parameter uncertainties, (1) the closed-loop system is exponentially mean-square quadratically stable; (2) the individual steady-state variance satisfies given upper bound constraints; and (3) the prescribed noise attenuation level is guaranteed in an H_∞ sense with respect to the additive noise disturbances. A general framework is established to solve the addressed multiobjective problem by using a linear matrix inequality (LMI) approach, where the required stability, the H_∞ characterization and variance constraints are all easily enforced. Within such a framework, two additional optimization problems are formulated: one is to optimize the H_∞ performance, and the other is to minimize the weighted sum of the system state variances. A numerical example is provided to illustrate the effectiveness of the proposed design algorithm. © 2006 Elsevier Inc. All rights reserved.