ROBUST STATE-FEEDBACK CONTROL OF STOCHASTIC SYSTEM

A robust state-feedback control problem on infinite horizon is considered for linear time-invariant stochastic systems with parameter uncertainty. It does not only present the conditions of existence and state-space formulas for robust controllers for this problem, but also provides guaranteed bounds for the asymptotic variance of system output. It is also demonstrated, via an example, that the proposed method significantly improves system output performance and offers far better robustness. 