Robust H ∞ control of time-varying systems with stochastic non-linearities: The finite-horizon case

Abstract

This paper is concerned with the robust H_∞ control problem for the class of uncertain non-linear discrete time-varying stochastic systems with a covariance constraint. All the system parameters are time-varying and the uncertainties enter into the state matrix. The non-linearities under consideration are described by statistical means and they cover several classes of well-studied non-linearities. The purpose of the addressed problem is to design a dynamic output-feedback controller such that, the H_∞ disturbance rejection attenuation level is achieved in the finite-horizon case while the state covariance is not more than an individual upper bound at each time point. An algorithm is developed to deal with the addressed problem by means of recursive linear matrix inequalities (RLMIs). It is shown that the robust H_∞ control problem is solvable if the series of RLMIs is feasible. An illustrative simulation example is given to show the applicability and effectiveness of the proposed algorithm.

Keywords

stochastic systems non-linear systems time-varying systems robust control

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