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Journal of Systems Science and Complexity

, Volume 28, Issue 4, pp 813–829 | Cite as

State and output feedback finite-time guaranteed cost control of linear itô stochastic systems

  • Zhiguo YanEmail author
  • Guoshan Zhang
  • Jiankui Wang
  • Weihai Zhang
Article

Abstract

The problem of guaranteed cost control based on finite-time stability for stochastic system is first investigated in this paper. The motivation of solving this problem arises from an observation that finite/infinite-horizon guaranteed cost control does not consider the transient performance of the closed-loop system, but guaranteed cost control based on finite-time stability involves this practical requirement. In order to explain this problem explicitly, a concept of the stochastic finite-time guaranteed cost control is introduced, and then some new sufficient conditions for the existence of state and output feedback finite-time guaranteed cost controllers are derived, which guarantee finite-times to chastic stability of closed-loop systems and an upper bound of a quadratic cost function. Furthermore, this problem is reduced to a convex optimization problem with matrix inequality constraints and a new solving algorithm is given. Finally, an example is given to illustrate the effectiveness of the proposed method.

Keywords

Finite-time stability guaranteed cost control matrix inequalities stochastic systems 

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Copyright information

© Institute of Systems Science, Academy of Mathematics and Systems Science, CAS and Springer-Verlag Berlin Heidelberg 2015

Authors and Affiliations

  • Zhiguo Yan
    • 1
    • 2
    Email author
  • Guoshan Zhang
    • 2
  • Jiankui Wang
    • 2
  • Weihai Zhang
    • 3
  1. 1.School of Electrical Engineering and AutomationQilu University of TechnologyJinanChina
  2. 2.School of Electrical Engineering and AutomationTianjin UniversityTianjinChina
  3. 3.College of Electrical Engineering and AutomationShandong University of Science and TechnologyQingdaoChina

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