Algorithms to Solve Stochastic H2/H∞ Control with State-Dependent Noise

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 H2/H∞ control of discrete-time stochastic systems are reviewed and studied. Secondly, two algorithms are proposed for the finite and infinite horizon H2/H∞ control of continuous-time stochastic systems, respectively. Finally, several numerical examples are presented to show the effectiveness of the algorithms