Stochastic H<inf>&#x221E;</inf> control problem with state-dependent noise for multimodeling systems

説明

In this paper, stochastic H ∞ state feedback control with state-dependent noise for multimodeling systems is addressed. After establishing the asymptotic structure of the stochastic multi-modeling algebraic Riccati equation (SMARE), an iterative algorithm that is based on Newton's method is established. A high-order state feedback controller by means of the obtained iterative solution is given and the degradation of the H ∞ performance is investigated for the stochastic case for the first time. Finally, in order to demonstrate the efficiency of the proposed algorithm, numerical example is given for practical megawatt-frequency control problem.

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