| Abstract: | 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. |
