H∞ model reduction for continuous-time switched stochastic hybrid systems

Abstract

This article deals with the problem of computing an approximation system for a continuous-time switched stochastic system, such that the H ∞ gain of the error system is less than a prescribed scalar. By using the average dwell-time approach and the piecewise Lyapunov function technique, a sufficient condition is first proposed, which guarantees the error system to be mean-square exponentially stable with a weighted H ∞ performance. Then, the model reduction is solved by using the projection approach, which casts the model reduction into a sequential minimisation problem subjected to linear matrix inequality constraints by employing the cone complementary linearisation algorithm. Finally, a numerical example is provided to illustrate the effectiveness of the proposed theory.