Robust H-infinity Control for Stochastic Markovian Switching Systems Under Partly Known Transition Probabilities and Actuator Saturation via Anti-Windup Design

This paper deals with the problem of robust H-infinity control for stochastic Markovian switching systems with partly known transition probabilities and actuator saturation via anti-windup design. Under the assumption that output feedback controllers have been built to stabilize the stochastic Markovian switching system, anti-windup compensators are designed to expand the domain of attraction of the corresponding closed-loop system that contains admissible external disturbance, Itô -type stochastic disturbance, and norm-bounded parameter uncertainties. The procedure of deriving anti-windup compensation gain matrices is converted into an optimization problem with constraints of a set of linear matrix inequalities. Finally, numerical examples are given to demonstrate the validity of the main results.