H_(2)/H_(∞) Control for Stochastic Jump-Diffusion Systems with Markovian Switching  

作　　者：WANG Meijiao MENG Qingxin SHEN Yang 

机构地区：[1]Business School,University of Shanghai for Science and Technology,Shanghai 200093,China [2]Department of Mathematical Sciences,Huzhou University,Zhejiang 313000,China [3]School of Risk&Actuarial Studies,University of New South Wales,Sydney,NSW 2052,Australia

出　　处：《Journal of Systems Science & Complexity》2021年第3期924-954,共31页系统科学与复杂性学报（英文版）

基　　金：supported by the National Natural Science Foundation of China under Grant No. 11871121;the Natural Science Foundation of Zhejiang Province for Distinguished Young Scholar under Grant No.LR15A010001。

摘　　要：In this paper, a stochastic H2/H∞ control problem is investigated for Poisson jumpdiffusion systems with Markovian switching, which are driven by a Brownian motion and a Poisson random measure with the system parameters modulated by a continuous-time finite-state Markov chain.A stochastic jump bounded real lemma is proved, which reveals that the norm of the perturbation operator below a given threshold is equivalent to the existence of a global solution to a parameterized system of Riccati type differential equations. This result enables the authors to obtain sufficient and necessary conditions for the existence of H2/H∞ control in terms of two sets of interconnected systems of Riccati type differential equations.

关 键 词：H_(2)/H_(∞)control jump bounded real lemma jump-diffusion systems Markovian switching system of Riccati type differential equations 

分 类 号：TP13[自动化与计算机技术—控制理论与控制工程]