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Convergence of P1k, P2k, K1k, and K2k in Example 1, k=1.

Convergence of P1k, P2k, K1k, and K2k in Example 1, k=1.

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This paper is concerned with the algorithms which solve H2/H∞control problems of stochastic systems with state-dependent noise. Firstly, the algorithms for the finite and infinite horizon H 2 / H ∞ control of discrete-time stochastic systems are reviewed and studied. Secondly, two algorithms are proposed for the finite and infinite horizon H2/H∞con...

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