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This paper discusses the finite horizon H2/H∞ control for discrete-time time-varying systems with infinite Markov jumps parameters and multiplicative noise. Firstly, we present a stochastic bounded real lemma, which is crucial to solve the mixed H2/H∞ control problem of the concerned systems. A sufficient and necessary condition for the existence of the state feedback H2/H∞ controller is represented...
By decoupling product terms between the Lyapunov matrix and system matrices, this paper proposes a parameter-dependent bounded real lemma (BRL) for continuous-time stochastic systems with polytopic uncertainties. This new criterion is shown, via a numerical example, to be much less conservative than previous result in the quadratic framework. In addition, the obtained result is further extended to...
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