ℋ− index for continuous-time stochastic systems with Markov jump and multiplicative noise

• Autores: Xihui Liu, Weihai Zhang, Yan Li
• Localización: Automatica: A journal of IFAC the International Federation of Automatic Control, ISSN 0005-1098, Nº. 105, 2019, págs. 167-178
• Idioma: inglés
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• Resumen

  • This paper investigates the problem of ℋ− index for stochastic linear continuous-time systems involving Markov jump and multiplicative noise. A set of generalized differential Riccati equations (GDREs) are presented and it is shown that the solvability of GDREs is necessary and sufficient for the feasibility of an ℋ−index larger than γ>0. Our results extend the corresponding deterministic cases to stochastic systems. Furthermore, the infinite horizon ℋ− index problem for square systems is considered. Finally, the effectiveness of the obtained results is tested by two examples.