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Hindawi, Mathematical Problems in Engineering, (2014), p. 1-9, 2014

DOI: 10.1155/2014/205967

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Algorithms to Solve Stochastic Control with State-Dependent Noise

Journal article published in 2014 by Ming Gao, Changdi Fu, Weihai Zhang ORCID
This paper is made freely available by the publisher.
This paper is made freely available by the publisher.

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Abstract

This paper is concerned with the algorithms which solve H2/H∞control problems of stochastic systems with state-dependent noise. Firstly, the algorithms for the finite and infinite horizon H 2 / H ∞ control of discrete-time stochastic systems are reviewed and studied. Secondly, two algorithms are proposed for the finite and infinite horizon H2/H∞control of continuous-time stochastic systems, respectively. Finally, several numerical examples are presented to show the effectiveness of the algorithms.