PDF(241 KB)
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.
PDF(241 KB)
PDF(241 KB)
Discrete-Time Mean-Field Stochastic H2/H∞ Control
Discrete-Time Mean-Field Stochastic H2/H∞ Control
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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