Related papers: Computing the stochastic $H^\infty$-norm
This paper is aimed at extending the H-infinity Bounded Real Lemma to stochastic systems under random disturbances with imprecisely known probability distributions. The statistical uncertainty is measured in entropy theoretic terms using…
The computation of the $L_\infty $-norm is an important issue in $H_{\infty}$ control, particularly for analyzing system stability and robustness. This paper focuses on symbolic computation methods for determining the $L_{\infty} $-norm of…
This paper mainly establishes the finite-horizon stochastic bounded real lemma, and then solves the $H_{\infty}$ control problem for discrete-time stochastic linear systems defined on the separable Hilbert spaces, thereby unifying the…
In this paper, we propose an improved method for computing the $\mathcal{H}_\infty$ norm of linear dynamical systems that results in a code that is often several times faster than existing methods. By using standard optimization tools to…
Hamilton variational principle for special type of statistical ensemble of deterministic dynamical systems is derived. Thie form of variational principle allows one to describe the statistical ensemble in terms of wave functions and…
This paper is concerned with H2 control of discrete-time linear systems with dynamics determined by an independent and identically distributed (i.i.d.) process. A definition of H2 norm is first discussed for the class of systems. Then, a…
The paper is dealing with semi-classical asymptotics of a characteristic function for a stochastic process. The main technical tool is provided by the stationary phase method. The extremal range for a stochastic process is defined by limit…
In this paper, we compute the exact value of the norm of the Hilbert matrix operator $\mathcal{H}$ acting from the classical Bloch space $\mathcal{B}$ into the logarithmically weighted Bloch space $\mathcal{B}_{\log}$, and show that it…
We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston stochastic variance process is defined as a tensor product of a Hilbert-valued Ornstein-Uhlenbeck process with itself. The volatility process…
This paper investigates the $H_{2}/H_{\infty}$ control problem for linear stochastic differential systems under partial observation. Unlike existing studies that assume full state accessibility, we consider the scenario where the controller…
In this paper we consider the computation of H-infinity norm of retarded time-delay systems with discrete pointwise state delays. It is well known that in the finite dimensional case H-infinity norm of a system is computed using the…
In this article, we present the exact expression of the $L^2$-norm of the forward stochastic integral driven by the multi-dimensional fractional Brownian motion with parameter $\frac{1}{2} < H < 1$. The class of integrands only requires…
This paper mainly discusses the $H_{\infty}$ filtering of general nonlinear discrete time-varying stochastic systems. A nonlinear discrete-time stochastic bounded real lemma (SBRL) is firstly obtained by means of the smoothness of the…
We derive the Helmholtz theorem for stochastic Hamiltonian systems. Precisely, we give a theorem characterizing Stratonovich stochastic differential equations, admitting a Hamiltonian formulation. Moreover, in the affirmative case, we give…
A stochastic telegraph equation is defined by adding a random inhomogeneity to the classical (second order linear hyperbolic) telegraph differential equation. The inhomogeneities we consider are proportional to the two-dimensional white…
We consider classical estimators for a class of physically realizable linear quantum systems. Optimal estimation using a complex Kalman filter for this problem has been previously explored. Here, we study robust $H_\infty$ estimation for…
We establish pathwise continuity properties of solutions to a stochastic Volterra equation with an additive noise term given by a local martingale. The deterministic part is governed by an operator with an $H^\infty$-calculus and a scalar…
It is shown that the inert properties of a stationary random process can be expressed in terms of the ratio of its correlation interval to the doubled variance. When using a fixed value of the Planck constant h as a proportionality factor,…
This work considers stochastic operators in general inner-product spaces, and in particular, systems with stochastically time-varying input delays of a known probability distribution. Stochastic dissipativity and stability are defined from…
This paper studies the stability and $\mathcal{H}_{\infty}$ performance analysis problem for linear networked and quantized control systems with both communication delays random packet losses. To deal with the network-induced uncertainties…