Robust finite-time <i>H</i> ₂ / <i>H</i> _∞ control for stochastic Markovian jump systems via state feedback

The robust finite-time <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline" overflow="scroll"> <mml:mrow> <mml:msub> <mml:mrow> <mml:mi>H</mml:mi> </mml:mrow> <mml:mrow> <mml:mn>2</mml:mn> </mml:mrow> </mml:msub> <mml:mo stretchy="false">/</mml:mo> <mml:msub> <mml:mrow> <mml:mi>H</mml:mi> </mml:mrow> <mml:mrow> <mml:mi>∞</mml:mi> </mml:mrow> </mml:msub> </mml:mrow> </mml:math> control problems for linear discrete-time stochastic Markovian jump systems (MJSs) with external disturbance are investigated. Firstly, the definitions of robust finite-time boundedness, and robust finite-time <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline" overflow="scroll"> <mml:mrow> <mml:msub> <mml:mrow> <mml:mi>H</mml:mi> </mml:mrow> <mml:mrow> <mml:mn>2</mml:mn> </mml:mrow> </mml:msub> <mml:mo stretchy="false">/</mml:mo> <mml:msub> <mml:mrow> <mml:mi>H</mml:mi> </mml:mrow> <mml:mrow> <mml:mi>∞</mml:mi> </mml:mrow> </mml:msub> </mml:mrow> </mml:math> boundedness are presented. Subsequently, by using the stochastic Lyapunov–Krasovskii functional method and linear matrix inequality technique, sufficient conditions for the existence of a robust finite-time <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline" overflow="scroll"> <mml:mrow> <mml:msub> <mml:mrow> <mml:mi>H</mml:mi> </mml:mrow> <mml:mrow> <mml:mn>2</mml:mn> </mml:mrow> </mml:msub> <mml:mo stretchy="false">/</mml:mo> <mml:msub> <mml:mrow> <mml:mi>H</mml:mi> </mml:mrow> <mml:mrow> <mml:mi>∞</mml:mi> </mml:mrow> </mml:msub> </mml:mrow> </mml:math> controller are provided for stochastic MJSs. A state feedback controller is designed. Furthermore, the finite-time guaranteed cost bounds are given. More specifically, the designed controller not only ensures the finite-time <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline" overflow="scroll"> <mml:mrow> <mml:msub> <mml:mrow> <mml:mi>H</mml:mi> </mml:mrow> <mml:mrow> <mml:mi>∞</mml:mi> </mml:mrow> </mml:msub> </mml:mrow> </mml:math> bounded but also makes the <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline" overflow="scroll"> <mml:mrow> <mml:msub> <mml:mrow> <mml:mi>H</mml:mi> </mml:mrow> <mml:mrow> <mml:mn>2</mml:mn> </mml:mrow> </mml:msub> </mml:mrow> </mml:math> cost function less than the bound given by the performance index of the systems. Finally, two examples are given to illustrate the validity of the proposed approach.