Mixed H<inf>2</inf>/H<inf>&#x221E;</inf> output-feedback control for stochastic discrete-time systems

Abstract

The paper deals with the finite-horizon mixed H 2 /H ∞ output-feedback control of the discrete-time stochastic systems with multiplicative noise.It is shown that the H 2 /H ∞ output-feedback control of the discrete-time stochastic systems is equivalent to solving six coupled matrix-valued Riccati equations. The output feedback control has many applications in practice, and the proposed approach can be further used to deal with many problems such as infinitehorizon mixed H 2 /H ∞ control and the mixed H 2 /H ∞ control for stochastic time-delayed systems.