TY - JOUR

T1 - Mixed $H_2/H_\infty$ control in a stochastic framework

AU - Peters, M.A.

AU - Stoorvogel, A.A.

PY - 1994

Y1 - 1994

N2 - This paper deals with a mixture of H2 and H8 in the following way: We have two inputs and one output. One input signal is a white-noise stochastic process, and represents errors e.g. resulting from measurement noise. The other input has a more deterministic character. If one has a reference signal (e.g. a step) as input, one cannot model this as white noise, but it fits nicely into this new class of inputs. The objective is to minimize the effect of these signals on the output of the system. We define a cost function which enables us to combine these two exogenous inputs, even though they are structurally different. The analysis of this function leads to a standard H8 Riccati equation. We motivate this cost function by looking at two theoretical applications: the derivation of robust performance bounds and a tracking problem.

AB - This paper deals with a mixture of H2 and H8 in the following way: We have two inputs and one output. One input signal is a white-noise stochastic process, and represents errors e.g. resulting from measurement noise. The other input has a more deterministic character. If one has a reference signal (e.g. a step) as input, one cannot model this as white noise, but it fits nicely into this new class of inputs. The objective is to minimize the effect of these signals on the output of the system. We define a cost function which enables us to combine these two exogenous inputs, even though they are structurally different. The analysis of this function leads to a standard H8 Riccati equation. We motivate this cost function by looking at two theoretical applications: the derivation of robust performance bounds and a tracking problem.

U2 - 10.1016/0024-3795(94)90377-8

DO - 10.1016/0024-3795(94)90377-8

M3 - Article

VL - 205-206

SP - 971

EP - 996

JO - Linear Algebra and Its Applications

JF - Linear Algebra and Its Applications

SN - 0024-3795

ER -