SIAM Journal on Control and Optimization, Vol.58, No.1, 215-242, 2020
H-infinity CONTROL FOR STOCHASTIC SYSTEMS WITH DISTURBANCE PREVIEW
The paper considers the H-infinity control problem for stochastic systems with disturbance preview, which is very challenging since it involves the preview problem and multiplicative noise simultaneously. The H-infinity control problem for deterministic systems with disturbance preview was once listed as one of the 53 open problems in mathematics and control, and its methods cannot be generalized to solve the corresponding stochastic problem because of the essential differences of the two classes of systems. Using the projection principle in indefinite space, we give a necessary condition of the solvable H-infinity preview control problem by using a pair of variables. The necessary condition is very useful for solving the minimax problem. An inertia condition of matrices, as the necessary and sufficient condition under which the H-infinity control for stochastic linear systems is solvable, is also proposed and tested. This condition generalizes the results for H-infinity control for deterministic systems with disturbance preview. Our results are demonstrated via a quarter vehicle active suspension system.