LMIs in Control/pages/L2 gain of systems with multiplicative noise

The System

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where  , are independent, identically distributed random variables with   and   is independent of the process  .

The Data

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The matrices  .

The LMI:

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Implementation

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https://github.com/mkhajenejad/Mohammad-Khajenejad/commit/a34713575cd8ae9831cb5b7eb759d0fd45a8c37f

Conclusion

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The optimal   returns an upper bound on the   gain of the system. .

Remark

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It is straightforward to apply scaling method [Boyd, sec.6.3.4] to obtain component-wise results.

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Return to Main Page:

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