Robust ${\cal H}_{\infty}$ Finite-Horizon Control for a Class of Stochastic Nonlinear Time-Varying Systems Subject to Sensor and Actuator Saturations

This technical note addresses the robust H _∞ finite-horizon output feedback control problem for a class of uncertain discrete stochastic nonlinear time-varying systems with both sensor and actuator saturations. In the system under investigation, all the system parameters are allowed to be time-varying, the parameter uncertainties are assumed to be of the polytopic type, and the stochastic nonlinearities are described by statistical means which can cover several classes of well-studied nonlinearities. The purpose of the problem addressed is to design an output feedback controller, over a given finite-horizon, such that the H _∞ disturbance attenuation level is guaranteed for the nonlinear stochastic polytopic system in the presence of saturated sensor and actuator outputs. Sufficient conditions are first established for the robust H _∞ performance through intensive stochastic analysis, and then a recursive linear matrix inequality (RLMI) approach is employed to design the desired output feedback controller achieving the prescribed H _∞ disturbance rejection level. Simulation results demonstrate the effectiveness of the developed controller design scheme.