MIXED H-2 H-INFINITY CONTROL IN A STOCHASTIC FRAMEWORK

This paper deals with a mixture of H-2 and H(infinity) in the followin g way: We have two inputs and one output. One input signal is a white- noise stochastic process, and represents errors e.g. resulting from me asurement noise. The other input has a more deterministic character. I f one has a reference signal (e.g. a step) as input, one cannot model this as white noise, but it fits nicely into this new class of inputs. The objective is to minimize the effect of these signals on the outpu t of the system. We define a cost function which enables us to combine these two exogenous inputs, even though they are structurally differe nt. The analysis of this function leads to a standard H(infinity) Ricc ati equation. We motivate this cost function by looking at two theoret ical applications: the derivation of robust performance bounds and a t racking problem.