HOMOTOPY METHOD FOR SOLVING ANISOTROPY-BASED STOCHASTIC H∞-OPTIMIZATION PROBLEM WITH UNCERTAINTY

Robust stochastic H∞-optimization problem has been solved for linear discrete time-invariant system with structured parametric uncertainty. This problem solution reduces to solving the system of four cross-coupled Riccati equations, Lyapunov equation, and special-type nonlinear algebraic equation. This paper presents the homotopy method — a numerical method for solving this problem.