ROBUST H∞ CONTROL FOR UNCERTAIN STOCHASTIC SYSTEMS WITH MARKOVIAN SWITCHING AND TIME-VARYING DELAYS

This paper is concerned with the problem of robust H∞ control for uncertain stochastic systems with Markovian jump parameters and time-varying state delays. A linear matrix inequality approach is developed and state feedback controllers are designed, which guarantee mean square asymptotic stability of the closed-loop system and a prescribed H∞ performance level for all modes and admissible uncertainties. A numerical example is provided to demonstrate the application of the proposed method.