Stochastic  H  ∞  control problem with state‐dependent noise for weakly coupled large‐scale systems | Zendy

Sagara Muneomi | Zendy; Mukaidani Hiroaki | Zendy; Yamamoto Toru | Zendy

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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.

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