Stochastic H2/Hinfinity control for discrete-time systems with state and disturbance dependent noise

This paper is to study the discrete-time stochastic H"2/H"~ control with state and external disturbance dependent noise. A necessary and sufficient condition for the existence of H"2/H"~ control is presented, which transforms the H"2/H"~ controller design into solving four coupled matrix-valued equations. Moreover, a recursive algorithm for solving the four coupled matrix-valued equations is also given.

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