Discrete-Time Mean-Field Stochastic H2/H∞ Control

作者：Zhang Weihai^*; Ma Limin; Zhang Tianliang

来源：Journal of Systems Science and Complexity, 2017, 30(4): 765-781.

DOI：10.1007/s11424-017-5010-6

• Discrete-time systems
• H-2/H-infinity control
• mean-field

The finite horizon H-2/H-infinity 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 linear-quadratic (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 H-2/H-infinity control of meanfield type via the solvability of coupled matrix-valued equations.

• 出版日期2017-8
• 单位青岛农业大学; 山东科技大学; 中国石油大学（华东）