Central suboptimal mean-square H∞ controller design for linear stochastic systems

This paper designs the central finite-dimensional H∞ controller for linear stochastic time-varying systems with integral-quadratically bounded deterministic disturbances, that is suboptimal for a given threshold γ with respect to a modified Bolza-Meyer quadratic criterion including the attenuation control term with the opposite sign. In contrast to the previously obtained results, the paper reduces the original H∞ controller problem to the corresponding optimal H2 controller problem, using the technique proposed in [1]. Numerical simulations are conducted to verify performance of the designed controller for a linear stochastic system against the central suboptimal H∞ controller available for the corresponding deterministic system.

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