H2 OPTIMAL CONTROLLERS FOR A LARGE CLASS OF LINEAR STOCHASTIC SYSTEMS WITH PERIODIC COEFFICIENTS

In this paper the H2 type optimization problem for a class of timevarying linear stochastic systems modeled by Ito differential equations and Markovian jumping with periodic coefficients is considered. The main goal of such an optimization problem is to minimize the effect of additive white noise perturbations on a suitable output of the controlled system. It is assumed that only an output is available for measurements.The solution of the considered optimization problem is constructed via the stabilizing solutions of some suitable systems of generalized Riccati differential equations with periodic coefficients.