H2/H∞ Control for Continuous-Time Stochastic Systems with Infinite Markovian Jumps
作者单位：College of Mathematics and Systems ScienceShandong University of Science and Technology
会议名称：《第37届中国控制会议》
会议日期：2018年
学科分类：02[经济学] 07[理学] 08[工学] 070105[理学-运筹学与控制论] 070103[理学-概率论与数理统计] 071101[理学-系统理论] 0711[理学-系统科学] 0202[经济学-应用经济学] 020208[经济学-统计学] 0714[理学-统计学（可授理学、经济学学位）] 081101[工学-控制理论与控制工程] 0811[工学-控制科学与工程] 0701[理学-数学]
基 金：supported by the National Natural Science Foundation of China(No.61673013) the Natural Science Foundation of Shandong Province(No.ZR2016JL022)
关 键 词：Stochastic differential equations Infinite Markovian jumps H2/H∞ control Difference Riccati equation
摘 要：In this paper,we consider the finite horizon H2/H∞ control problem for linear stochastic differential equations（SDEs） with infinite Markovian jumps.A necessary and sufficient condition is proposed for the existence of the mixed H2/H∞control by means of the solvability of the coupled difference Riccati equations（CDREs）.Moreover,the state feedback H2/H∞controller is constructed through the solution of CDREs.