State-feedback H∞ control for stochastic time-delay nonlinear systems with state and disturbance-dependent noise

This article focuses on the state-feedback H-infinity control problem for the stochastic nonlinear systems with state and disturbance-dependent noise and time-varying state delays. Based on the maxmin optimisation approach, both the delay-independent and the delay-dependent Hamilton-Jacobi-inequalities (HJIs) are developed for synthesising the state-feedback H-infinity controller for a general type of stochastic nonlinear systems. It is shown that the resulting control system achieves stochastic stability in probability and the prescribed disturbance attenuation level. For a class of stochastic affine nonlinear systems, the delay-independent as well as delay-dependent matrix-valued inequalities are proposed; the resulting control system satisfies global asymptotic stability in the mean-square sense and the required disturbance attenuation level. By modelling the nonlinearities as uncertainties in corresponding stochastic time-delay systems, the sufficient conditions in terms of a linear matrix inequality (LMI) and a bilinear matrix inequality (BMI) are derived to facilitate the design of the state-feedback H-infinity controller. Finally, two numerical examples are provided to illustrate the effectiveness of the proposed methods.