Stochastic Bounded Real Lemma and $H_{\infty}$ Control of Difference Systems in Hilbert Spaces

TL;DR

This paper extends the stochastic bounded real lemma and $H_{ abla}$ control theory to systems in Hilbert spaces, providing a unified framework for stochastic control problems beyond finite-dimensional Euclidean spaces.

Contribution

It introduces a finite-horizon stochastic bounded real lemma and solves the $H_{ abla}$ control problem for systems in Hilbert spaces, unifying previous Euclidean space results.

Findings

Derived necessary and sufficient conditions for LQ-optimal control in Hilbert spaces.

Established the stochastic bounded real lemma for infinite-dimensional systems.

Demonstrated practical applications through illustrative examples.

Abstract

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 relevant theoretical results previously confined to the Euclidean space $\mathbb{R}^n$. To achieve these goals, the indefinite linear quadratic (LQ)-optimal control problem is firstly discussed. By employing the bounded linear operator theory and the inner product, a sufficient and necessary condition for the existence of a linear state feedback LQ-optimal control law is derived, which is closely linked with the solvability of the backward Riccati operator equation with a sign condition. Based on this, stochastic bounded real lemma is set up to facilitate the $H_{\infty}$ performance of the disturbed system in Hilbert spaces. Furthermore, the Nash equilibrium problem associated with two parameterized quadratic performance indices is worked out, which enables a uniform treatment of the $H_{\infty}$ and $H_2/H_{\infty}$ control designs by selecting specific values for the parameters. Several examples are supplied to illustrate the effectiveness of the obtained results, especially the practical significance in engineering applications.