Computing the stochastic $H^{\infty }$-norm

Abstract

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.

arXiv comment9 pages