A RECURSIVE ALGORITHM FOR H_∞- DISCRETE-TIME COUPLED ALGEBRAIC RICCATI EQUATIONS

摘要

Discrete-time coupled algebraic Riccati equations that arise in the H_∞-control of Markovian jump linear systems are considered in this paper. For a fixed v > 0, a recursive algorithm is derived such that it converges to a stabilizing solution if and only if there exists a feedback controller that stabilizes (in a probabilistic sense) the Markovian jump linear system and ensures that the l_2 -induced norm from the additive input disturbance to the output is less than the attenuation value v. A numerical example is presented comparing this algorithm with a recent one presented in the literature based on convex optimization.