Discrete-Time Mean-Field Stochastic H2/H∞ Control

ZHANG Weihai,MA Limin,ZHANG Tianliang

系统科学与复杂性(英文) ›› 2017, Vol. 30 ›› Issue (4) : 765-781.

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PDF(241 KB)
系统科学与复杂性(英文) ›› 2017, Vol. 30 ›› Issue (4) : 765-781. DOI: 10.1007/s11424-017-5010-6

Discrete-Time Mean-Field Stochastic H2/H∞ Control

    ZHANG Weihai  1, MA Limin 2, ZHANG Tianliang3
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Discrete-Time Mean-Field Stochastic H2/H∞ Control

    ZHANG Weihai  1, MA Limin 2, ZHANG Tianliang3
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Abstract

The finite horizon H2/H∞ control problem of mean-field type for discrete-time systems is considered in this paper. Firstly, the authors derive a mean-field stochastic bounded real lemma (SBRL). Secondly, a sufficient condition for the solvability of discrete-time mean-field stochastic linearquadratic (LQ) optimal control is presented. Thirdly, based on SBRL and LQ results, this paper establishes a sufficient condition for the existence of discrete-time stochastic H2/H∞ control of meanfield type via the solvability of coupled matrix-valued equations.

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ZHANG Weihai,MA Limin,ZHANG Tianliang. Discrete-Time Mean-Field Stochastic H2/H∞ Control. 系统科学与复杂性(英文), 2017, 30(4): 765-781 https://doi.org/10.1007/s11424-017-5010-6
ZHANG Weihai,MA Limin,ZHANG Tianliang. Discrete-Time Mean-Field Stochastic H2/H∞ Control. Journal of Systems Science and Complexity, 2017, 30(4): 765-781 https://doi.org/10.1007/s11424-017-5010-6
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