Abstract
This article focuses on the state-feedback ℋ∞ control problem for the stochastic nonlinear systems with state and disturbance-dependent noise and time-varying state delays. Based on the maxmin optimisation approach, both the delay-independent and the delay-dependent Hamilton–Jacobi-inequalities (HJIs) are developed for synthesising the state-feedback ℋ∞ controller for a general type of stochastic nonlinear systems. It is shown that the resulting control system achieves stochastic stability in probability and the prescribed disturbance attenuation level. For a class of stochastic affine nonlinear systems, the delay-independent as well as delay-dependent matrix-valued inequalities are proposed; the resulting control system satisfies global asymptotic stability in the mean-square sense and the required disturbance attenuation level. By modelling the nonlinearities as uncertainties in corresponding stochastic time-delay systems, the sufficient conditions in terms of a linear matrix inequality (LMI) and a bilinear matrix inequality (BMI) are derived to facilitate the design of the state-feedback ℋ∞ controller. Finally, two numerical examples are provided to illustrate the effectiveness of the proposed methods.
Acknowledgements
This research was supported by the Natural Sciences and Engineering Research Council of Canada (NSERC) and the Canada Foundation for Innovation (CFI).