Backward StochasticH2/H∞Control: Infinite Horizon Case | Zendy

Zhen Wu | Zendy; Qixia Zhang | Zendy

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Backward StochasticH2/H∞Control: Infinite Horizon Case

Author(s) -

Zhen Wu,

Qixia Zhang

Publication year - 2014

Publication title -

mathematical problems in engineering

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.262

H-Index - 62

eISSN - 1026-7077

pISSN - 1024-123X

DOI - 10.1155/2014/421687

Subject(s) - algorithm , computer science , artificial intelligence

The mixed H2/H∞ control problem is studied for systems governed by infinite horizon backward stochastic differential equations (BSDEs) with exogenous disturbance signal. A necessary and sufficient condition for the existence of a unique solution to the H2/H∞ control problem is derived. The equivalent feedback solution is also discussed. Contrary to deterministic or stochastic forward case, the feedback solution is no longer feedback of the current state; rather, it is feedback of the entire history of the state

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