Finite-Time Team-Optimal Strategy with Stochastic H2/H∞ Control

Dhaka University Journal of Applied Science & Engineering

Title:	Finite-Time Team-Optimal Strategy with Stochastic H2/H∞ Control
Authors:	Mostak Ahmed Department of Mathematics, Jagannath University, Dhaka-1100, Bangladesh Md. Abdullah Bin Masud Department of Mathematics, Jagannath University, Dhaka-1100, Bangladesh
DOI:	PDF
Keywords:	Team-optimal solution, H2/H∞ control, Linear stochastic system, Differential Riccati equations, State feedback
Abstract:	This paper discusses the finite-time team-optimal solution for the linear stochastic systems with external disturbances that are attenuated by the H₂/H_∞ control for the problem of multiple decision-makers. The results show that a finite-time team-optimal solution is found by solving a system of coupling stochastic differential Riccati equations (CSDREs). Finally, a real-world example is given to show that the results are correct.
References:	W. Zhang, H. Zhang and B.S. Chen, “Stochastic control with -dependent noise: finite-horizon case”, Automatica, vol. 42, no. 11, pp 1891–1898, 2006.