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A game theory approach to mixed control for a class of stochastic time-varying systems with randomly occurring nonlinearities. (English) Zbl 1231.93117
Summary: We are concerned with the mixed $H_{2}/H_{\infty }$ control problem for a class of stochastic time-varying systems with nonlinearities. The nonlinearities are described by statistical means and could cover several kinds of well-studied nonlinearities as special cases. The occurrence of the addressed nonlinearities is governed by two sequences of Bernoulli distributed white sequences with known probabilities. Such nonlinearities are named as randomly occurring nonlinearities (RONs) as they appear in a probabilistic way. The purpose of the problem under investigation is to design a controller such that the closed-loop system achieves the expected $H_{2}$ performance requirements with a guaranteed $H_{\infty }$ disturbance attenuation level. A sufficient condition is given for the existence of the desired controller by means of solvability of certain coupled matrix equations. By resorting to the game theory approach, an algorithm is developed to obtain the controller gain at each sampling instant. A numerical example is presented to show the effectiveness and applicability of the proposed method.

MSC:
93E20Optimal stochastic control (systems)
93C10Nonlinear control systems
93B36$H^\infty$-control
91A80Applications of game theory
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