H 2 optimal control for a wide class of discrete-time linear stochastic systems

In this article, the problem of H ₂-control of a discrete-time linear system subject to Markovian jumping and independent random perturbations is considered. Different H ₂ performance criteria (often called H ₂-norms) are introduced and characterised via solutions of some suitable linear equations on certain spaces of symmetric matrices. Some aspects specific to the discrete-time framework are revealed. The problem of optimisation of H ₂-norms is solved under the assumption that full state vector is available for measurements. One shows that among all stabilising controllers of higher dimension, the best performance is achieved by a zero-order controller. The corresponding feedback gain of the optimal controller is constructed based on the stabilising solution of a system of discrete-time generalised Riccati equations.     

Robust stabilizability of normalized coprime factors: the infinite-dimensional case

The problem of robustly stabilizing a linear system subject to H_∞-bounded perturbations in the numerator and the denominator of its normalized left coprime factorization is considered for a class of infinite-dimensional systems. This class has possible unbounded, finite-rank input and output operators, which include many delay and distributed systems. The optimal stability margin is expressed in terms of the solutions of the control and filter algebraic Riccati equations.     

H∞ Control for Continuous‐Time Mean‐Field Stochastic Systems

An H_∞‐type control is considered for mean‐field stochastic differential equations (SDEs) in this paper. A stochastic bounded real lemma (SBRL) is proved for mean‐field stochastic continuous‐time systems with state‐ and disturbance‐dependent noise. Based on SBRL, a sufficient condition is given for the existence of a stabilizing H_∞ controller in terms of coupled nonlinear matrix inequalities.     

A further result of the nonlinear mixed H2/H∞ tracking control problem for robotic systems

The design objective of a mixed H₂/H_∞ control is to find the H₂ optimal tracking control law under a prescribed disturbance attenuation level. With the help of the technique of completing the squares, a further result of the mixed H₂/H_∞ optimal tracking control problem is presented, by combining it with standard LQ optimal control technique. In this paper, only a nonlinear time‐varying Riccati equation is required to solve the problem in the design procedure—instead of two coupled nonlinear time‐varying Riccati equations, or two coupled linear algebraic Riccati‐Iike equations—with some assumptions made regarding the weighting matrices in the existing results. A closed‐form controller for the mixed H₂/H_∞ robotic tracking problem is simply constructed with a matrix inequality check. Moreover, it shows that the existing results are the special cases of these results. Finally, detailed comparison is performed by numerical simulation of a two‐link robotic manipulator. © 2002 John Wiley & Sons, Inc.     

<Emphasis Type="BoldItalic">H</Emphasis><Subscript>2</Subscript>-Control and the Separation Principle for Discrete-Time Markovian Jump Linear Systems

In this paper we consider the H₂-control problem of discrete-time Markovian jump linear systems. We assume that only an output and the jump parameters are available to the controller. It is desired to design a dynamic Markovian jump controller such that the closed-loop system is mean square stable and minimizes the H₂-norm of the system. As in the case with no jumps, we show that an optimal controller can be obtained from two sets of coupled algebraic Riccati equations, one associated with the optimal control problem when the state variable is available, and the other associated with the optimal filtering problem. This is the principle of separation for discrete-time Markovian jump linear systems. When there is only one mode of operation our results coincide with the traditional separation principle for the H₂-control of discrete-time linear systems. Date received: June 1, 2001. Date revised: October 13, 2003.     

Maximal and Stabilizing Hermitian Solutions for Discrete-Time Coupled Algebraic Riccati Equations

Discrete-time coupled algebraic Riccati equations that arise in quadratic optimal control and H _∞-control of Markovian jump linear systems are considered. First, the equations that arise from the quadratic optimal control problem are studied. The matrix cost is only assumed to be hermitian. Conditions for the existence of the maximal hermitian solution are derived in terms of the concept of mean square stabilizability and a convex set not being empty. A connection with convex optimization is established, leading to a numerical algorithm. A necessary and sufficient condition for the existence of a stabilizing solution (in the mean square sense) is derived. Sufficient conditions in terms of the usual observability and detectability tests for linear systems are also obtained. Finally, the coupled algebraic Riccati equations that arise from the H _∞-control of discrete-time Markovian jump linear systems are analyzed. An algorithm for deriving a stabilizing solution, if it exists, is obtained. These results generalize and unify several previous ones presented in the literature of discrete-time coupled Riccati equations of Markovian jump linear systems. Date received: November 14, 1996. Date revised: January 12, 1999.     

H∞-control with measurement-feedback for Pritchard-Salamon systems

In this paper we extend the finite-dimensional results for the H_∞-control problem with measurement-feedback to a large class of infinite-dimensional systems, allowing for a certain type of unboundedness in the input and output operators (the Pritchard-Salamon class). The main result of the paper relates the solvability to the suboptimal H_∞-control problem to the existence of stabilizing solutions to certain operator Riccati equations. Furthermore, a characterization of all suboptimal controllers is given.     

H Optimal control for linear stochastic systems

The aim of the present paper is to provide an optimal solution to the H² state-feedback and output-feedback control problems for stochastic linear systems subjected both to Markov jumps and to multiplicative white noise. It is proved that in the state-feedback case the optimal solution is a static gain which is also optimal in the class of all higher-order controllers. In the output-feedback case the optimal H² controller has the same order as the given stochastic system. The realization of the optimal controllers depend on the stabilizing solutions of some appropriate systems of Riccati-type coupled equations. An effective iterative convergent algorithm to compute these stabilizing solutions is also presented. The paper gives some illustrative numerical example allowing to compare the results obtained by the proposed design approach with the ones presented in the recent control literature.     

H2 control of discrete-time periodic systems with Markovian jumps and multiplicative noise

This paper addresses the problem of optimal and robust H₂ control for discrete-time periodic systems with Markov jump parameters and multiplicative noise. To analyse the system performance in the presence of exogenous random disturbance, an H₂ norm is firstly established on the basis of Gramian matrices. Further, under the condition of exact observability, a necessary and sufficient condition is presented for the solvability of H₂ optimal control problem by means of a generalised Riccati equation. When the transition probabilities of jump parameter are incompletely measurable, an H₂-guaranteed cost norm is exploited and the robust H₂ controller is designed through a linear matrix inequality (LMI) optimisation approach. An example of a networked control system is supplied to illustrate the proposed results.     

Continuity properties of solutions to H2 and H∞ Riccati equations

In H₂ and H_∞ optimal control (semi-)stabilizing solutions of algebraic Riccati equations play an essential role. It is well-known that these solutions might have discontinuities as a function of the system parameters. The paper shows that these discontinuities are directly linked to non-left-invertibility and, in contrast to what one might think, unrelated to zeros on the imaginary axis.     

Output Feedback H∞ Control for Discrete‐time Mean‐field Stochastic Systems

This paper is to consider dynamic output feedback H_∞ control of mean‐field type for stochastic discrete‐time systems with state‐ and disturbance‐dependent noise. A stochastic bounded real lemma (SBRL) of mean‐field type is derived. Based on the SBRL, a sufficient condition with the form of coupled nonlinear matrix inequalities is derived for the existence of a stabilizing H_∞ controller. Moreover, a numerical example is given to examine the effectiveness of the theoretical results.     

Decentralized state feedback robust H ∞ control using a differential evolution algorithm

This paper presents a new method to synthesize a decentralized state feedback robust H ^∞ controller for a class of large‐scale linear uncertain systems satisfying integral quadratic constraints. The decentralized controller is constructed by taking only block‐diagonal elements of a nondecentralized state feedback controller and treating neglected off‐diagonal blocks as uncertainties. A solution to this controller synthesis problem is given in terms of a stabilizing solution to a parametrized algebraic Riccati equation where the parameters are obtained using a differential evolution algorithm.Copyright © 2012 John Wiley & Sons, Ltd.     

Robust H 2-control for discrete-time Markovian jump linear systems

This paper deals with the robust H₂-control of discrete-time Markovian jump linear systems. It is assumed that both the state and jump variables are available to the controller. Uncertainties satisfying some norm bounded conditions are considered on the parameters of the system. An upper bound for the H₂-control problem is derived in terms of a linear matrix inequality (LMI) optimization problem. For the case in which there are no uncertainties, we show that the convex formulation is equivalent to the existence of the mean square stabilizing solution for the set of coupled algebraic Riccati equations arising on the quadratic optimal control problem of discrete-time Markovian jump linear systems. Therefore, for the case with no uncertainties, the convex formulation considered in this paper imposes no extra conditions than those in the usual dynamic programming approach. Finally some numerical examples are presented to illustrate the technique.     

Infinite horizon linear quadratic stochastic Nash differential games of Markov jump linear systems with its application

In this paper, we deal with the problem of stochastic Nash differential games of Markov jump linear systems governed by Itô-type equation. Combining the stochastic stabilizability with the stochastic systems, a necessary and sufficient condition for the existence of the Nash strategy is presented by means of a set of cross-coupled stochastic algebraic Riccati equations. Moreover, the stochastic H₂/H_∞ control for stochastic Markov jump linear systems is discussed as an immediate application and an illustrative example is presented.     

On computing the stabilizing solution of a class of discrete‐time periodic Riccati equations

This paper addresses the problem of solving a class of periodic discrete‐time Riccati equation with an indefinite sign of its quadratic term. Such an equation is closely related to the so‐called full‐information H _∞ control of discrete‐time periodic systems. A globally convergent iterative algorithm with a local quadratic convergence rate is proposed for this purpose. An application to the problem of H _∞ filtering of discrete‐time periodic systems is also developed and illustrated via a numerical example. Copyright © 2013 John Wiley & Sons, Ltd.     

Robust H ∞ control via a stable decentralized nonlinear output feedback controller

This paper presents a new method to construct a decentralized nonlinear robust H ^∞ controller for a class of large‐scale nonlinear uncertain systems. The admissible uncertainties and nonlinearities in the system satisfy integral quadratic constraints and global Lipschitz conditions, respectively. The decentralized controller, which is required to be stable, is capable of exploiting known nonlinearities and interconnections between subsystems without treating them as uncertainties. Instead, additional uncertainties are introduced because of the discrepancies between nondecentralized and decentralized nonlinear output feedback controllers. The H ^∞ control objective is to achieve an absolutely stable closed‐loop system with a specified disturbance attenuation level. A solution to this control problem involves stabilizing solutions to algebraic Riccati equations parametrized by scaling constants corresponding to the uncertainties and nonlinearities. This formulation is nonconvex; hence, an evolutionary optimization method is applied to solve the control problem considered. Copyright © 2012 John Wiley & Sons, Ltd.     

Resilient H∞ Control Design for Discrete‐Time Uncertain Linear Systems: An Auxiliary System Transformation Approach

This paper studies the resilient (non‐fragile) H∞ output‐feedback control design for discrete‐time uncertain linear systems with controller uncertainty. The design considers parametric norm‐bounded uncertainty in all state‐space matrices of the system, output and controller equations. The paper shows that the resilient H∞ output‐feedback control problem is equivalent to a scaled H∞ output‐feedback control problem of an auxiliary system without any system or controller uncertainty. Using the existing optimal H∞ design to solve the auxiliary system, the design guarantees that the resultant closed‐loop systems are quadratically stable with disturbance attenuation γ for all admissible system and controller uncertainties. A numerical example is given to illustrate the design method and its benefits.     

State and Unknown Input H∞ Observers for Discrete‐Time LPV Systems

This paper proposes state and unknown input (UI) observers for linear parameter varying (LPV) systems affected by UI and perturbations in both state and measurement equations. The estimation is done by minimizing the L₂ transfer between the perturbations and the state estimation error (H_∞‐observation). The originality of the paper is to provide a generalization of existing works, specially by relaxing an assumption on systems matrices, widely used for UI decoupling. After giving the main results, some examples illustrate the theoretical contributions and give comparisons to former publications.     

Model reduction of discrete Markovian jump systems with time‐weighted H2 performance

This paper is concerned with the optimal time‐weighted H₂ model reduction problem for discrete Markovian jump linear systems (MJLSs). The purpose is to find a mean square stable MJLS of lower order such that the time‐weighted H₂ norm of the corresponding error system is minimized for a given mean square stable discrete MJLSs. The notation of time‐weighted H₂ norm of discrete MJLS is defined for the first time, and then a computational formula of this norm is given, which requires the solution of two sets of recursive discrete Markovian jump Lyapunov‐type linear matrix equations. Based on the time‐weighted H₂ norm formula, we propose a gradient flow method to solve the optimal time‐weighted H₂ model reduction problem. A necessary condition for minimality is derived, which generalizes the standard result for systems when Markov jumps and the time‐weighting term do not appear. Finally, numerical examples are used to illustrate the effectiveness of the proposed approach. Copyright © 2015 John Wiley & Sons, Ltd.     

Mixed <Emphasis Type="Italic">H</Emphasis><Subscript>2</Subscript>/<Emphasis Type="Italic">H</Emphasis><Subscript>∞</Subscript> control for linear infinite-dimensional systems

In this paper, we consider mixed H ₂/H _∞ control problems for linear infinite-dimensional systems. The first part considers the state feedback control for the H ₂/H _∞ control problems of linear infinite-dimensional systems. The cost horizon can be infinite or finite time. The solutions of the H ₂/H _∞ control problem for linear infinitedimensional systems are presented in terms of the solutions of the coupled operator Riccati equations and coupled differential operator Riccati equations. The second part addresses the observer-based H ₂/H _∞ control of linear infinite-dimensional systems with infinite horizon and finite horizon costs. The solutions for the observer-based H ₂/H _∞ control problem of linear infinite-dimensional systems are represented in terms of the solutions of coupled operator Riccati equations. The first-order partial differential system examples are presented for illustration. In particular, for these examples, the Riccati equations are represented in terms of the coefficients of first-order partial differential systems.