State-space Solution to Stochastic H∞-optimization Problem with Uncertainty

Robust stochastic anisotropy-based H∞-optimization problem for discrete linear time-invariant (LTI) systems with structured parametric uncertainty is considered. It is shown that the problem can be reduced to mixed H2/H∞-like problem. The resulting control problem involves the minimization of anysotropic and H∞ norms of the system. Explicit state-space formulas are also obtained for the optimal controller. The problem covers the standard H2/H∞ optimization problem and H∞-optimization problem as two limiting cases. Copyright c ©2005 IFAC.