Stochastic H∞ output-feedback control for linear retarded systems

Abstract

In this paper a new method for designing a reduced-order output feedback controller for a linear time-invariant retarded system with stochastic state-multiplicative Wiener-type noise, that achieves a minimum bound on the H∞ performance level, is introduced. The solution of the stochastic H∞ reduced-order output-feedback control problem is solved, for the stationary case, via the input-output approach where the system is replaced by a non-retarded system that contain, instead, deterministic norm-bounded uncertainties. The stochastic uncertainties appear in the dynamic matrices, which correspond to the delayed and non-delayed states of the system. In this problem, a cost function is defined which is the expected value of the standard H∞ performance cost with respect to the stochastic parameters.