IEEE Transactions on Automatic Control, Vol.59, No.1, 237-242, 2014
Some Remarks on General Nonlinear Stochastic H-infinity Control With State, Control, and Disturbance-Dependent Noise
This technical note studies the nonlinear stochastic H-infinity control of Ito-type differential systems with all the state, control input and external disturbance-dependent noise ((x, u, v)-dependent noise for short). A sufficient condition is given for the finite/infinite horizon H-infinity control of such a system by means of an Hamilton-Jacobi inequality (HJI) instead of three coupled Hamilton-Jacobi equations (HJEs) as in previous literature.
Keywords:H-infinity control;Hamilton-Jacobi inequalities;nonlinear stochastic systems;(x;u;v)-dependent noise