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Solution of the stochastic H ∞-optimization problem for discrete time linear systems under parametric uncertainty

  • Adaptive and Robust Systems
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Abstract

The stochastic H ∞-optimization problem for a linear discrete time system with uncertain parameters is formulated and solved. The system operates in the presence of Gaussian random disturbances. The original problem with parametric uncertainty is reduced to the stochastic H ∞-optimization problem without uncertainty and having one extra input, which is essentially the mixed H 2/H ∞-optimization problem. In a sense, the problem considered in this paper incorporates the classical H 2/H ∞-and H ∞-optimization problems as limiting cases.

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Authors and Affiliations

  1. Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia

    A. P. Kurdyukov

  2. Bauman Moscow State Technical University, Moscow, Russia

    E. A. Maximov

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  1. A. P. Kurdyukov
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  2. E. A. Maximov
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Original Russian Text © A.P. Kurdyukov, E.A. Maximov, 2006, published in Avtomatika i Telemekhanika, 2006, No. 8, pp. 112–142.

This work was supported by Fundamental Research Program no. 15 of the Russian Academy of Sciences (Branch of Power and Mechanical Engineering, Mechanics and Control Processes), the programm “Development of the High-School Scientific Potential,” project RNP 2.1.1.2381, and the Russian Foundation for Basic Research, project no. 05-08-18131A.

This paper was recommended for publication by A.V. Nazin, a member of the Editorial Board

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Kurdyukov, A.P., Maximov, E.A. Solution of the stochastic H ∞-optimization problem for discrete time linear systems under parametric uncertainty. Autom Remote Control 67, 1283–1310 (2006). https://doi.org/10.1134/S0005117906080078

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  • DOI: https://doi.org/10.1134/S0005117906080078

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