Robust H ∞ output‐feedback control of retarded state‐multiplicative stochastic systems

Linear, state‐delayed, continuous‐time systems are considered with both stochastic and norm‐bounded deterministic uncertainties in the state–space model. The problem of robust dynamic H ∞ output‐feedback control is solved, for the stationary case, via the input–output approach where the system is replaced by a nonretarded system with additional deterministic norm‐bounded uncertainties. A delay‐dependent result is obtained which involves the solution of a simple linear matrix inequality. In this problem, a cost function is defined which is the expected value of the standard H ∞ performance cost with respect to the stochastic parameters. A practical example taken from the field of guidance control is given that demonstrates the applicability of the theory. Copyright © 2010 John Wiley & Sons, Ltd.