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

The SystemEdit

 

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

The DataEdit

The matrices  .

The LMI:Edit

 

ImplementationEdit

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

ConclusionEdit

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

RemarkEdit

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

External LinksEdit

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