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Journal of Global Optimization

, Volume 57, Issue 4, pp 1245–1262 | Cite as

Infinite horizon \(H_2/H_\infty \) optimal control for discrete-time Markov jump systems with (\(x,u,v\))-dependent noise

  • Ting Hou
  • Weihai Zhang
  • Hongji Ma
Article

Abstract

In this paper, an infinite horizon \(H_2/H_\infty \) control problem is addressed for a broad class of discrete-time Markov jump systems with (\(x,u,v\))-dependent noises. First of all, under the condition of exact detectability, the stochastic Popov–Belevich–Hautus (PBH) criterion is utilized to establish an extended Lyapunov theorem for a generalized Lyapunov equation. Further, a necessary and sufficient condition is presented for the existence of state-feedback \(H_2/H_\infty \) optimal controller on the basis of two coupled matrix Riccati equations, which may be solved by a backward iterative algorithm. A numerical example with simulations is supplied to illustrate the proposed theoretical results.

Keywords

Infinite horizon \(H_2/H_\infty \) control Markov jump Exact detectability Coupled matrix Riccati equations 

Notes

Acknowledgments

This work was supported by the Mathematical Tianyuan Youth Foundation of China (No. 11126094), the National Natural Science Foundation of China (No. 61174078), the Key Project of Natural Science Foundation of Shandong Province (No. ZR2009GZ001), the Specialized Research Fund for the Doctoral Program of Higher Education (No. 20103718110006), the Research Fund for the Taishan Scholar Project of Shandong Province of China, and the SDUST Research Fund (No. 2011KYTD105).

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Copyright information

© Springer Science+Business Media New York 2013

Authors and Affiliations

  1. 1.College of ScienceShandong University of Science and TechnologyQingdaoChina
  2. 2.College of Information and Electrical EngineeringShandong University of Science and TechnologyQingdaoChina

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