On Simplifying Solution to Normalized Anisotropy-Based Stochastic H∞ Problem

This paper introduces a simplified solution to the normalized anisotropy-based stochastic H∞ problem. The problem includes the normalized LQG and H∞ problems as two limiting cases. It is shown that an order of a cross-coupled nonlinear algebraic equation system defining state-space realization matrices of optimal controller can be reduced, and this equation system can be partially decoupled.