Premium
Stochastic H ∞ control problem with state‐dependent noise for weakly coupled large‐scale systems
Author(s) -
Sagara Muneomi,
Mukaidani Hiroaki,
Yamamoto Toru
Publication year - 2007
Publication title -
ieej transactions on electrical and electronic engineering
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.254
H-Index - 30
eISSN - 1931-4981
pISSN - 1931-4973
DOI - 10.1002/tee.20211
Subject(s) - convergence (economics) , algebraic riccati equation , dimension (graph theory) , scale (ratio) , noise (video) , computation , quadratic equation , mathematics , state (computer science) , control theory (sociology) , stochastic control , riccati equation , fixed point , optimal control , mathematical optimization , computer science , control (management) , algorithm , mathematical analysis , pure mathematics , partial differential equation , physics , geometry , quantum mechanics , artificial intelligence , economics , image (mathematics) , economic growth
In this paper, stochastic H ∞ state feedback control with state‐dependent noise for weakly coupled large‐scale systems is discussed. After establishing the asymptotic structure of the stochastic algebraic Riccati equation (SARE), a new iterative algorithm that combines the Newton's method with the fixed‐point algorithm is derived for the first time. As a result, both the quadratic convergence and the reduced‐order computation in the same dimension of the subsystems are attained. Copyright © 2007 Institute of Electrical Engineers of Japan. Published by John Wiley & Sons, Inc.