Finite-time H2/H∞ control for linear stochastic systems

This paper is concerned with the problem of finite-time H
₂
/H
_∞
control for linear stochastic systems. First, a new definition of finite-time H
₂
/H
_∞
control is given. Second, some sufficient conditions for the existence of finite-time H
₂
/H
_∞
control are obtained, and the relationships among transient performance, H
₂
performance index and H
₀₀
performance index are represented by an algorithm. Finally, an example is used to illustrate our results.