Computing the stochastic $H^\infty$-norm

13 Mar 2017  ·  Damm Tobias, Benner Peter, Hauth Jan ·

The stochastic $H^\infty$-norm is defined as the $L^2$-induced norm of the input-output operator of a stochastic linear system. Like the deterministic $H^\infty$-norm it is characterised by a version of the bounded real lemma, but without a frequency domain description or a Hamiltonian condition... Therefore, we base its computation on a parametrised algebraic Riccati-type matrix equation. read more

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Numerical Analysis