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arXiv · 2608.17910

Stochastic Robust Linear W-infinity Control via Dynamic Output Feedback

Daniel Neri Cardoso·Guilherme Vianna Raffo
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Abstract

This paper introduces a robust W-infinity optimal control framework for linear It\^o diffusions using a weighted Sobolev-space performance measure. Because the sample paths of It\^o diffusions are nondifferentiable, the formulation leverages the weak derivative of the expected state. An LMI-based semidefinite program is developed for dynamic output-feedback synthesis, and a rigorous stability analysis guarantees mean-square ultimate boundedness with minimized ultimate bound. A numerical example demonstrates that the proposed approach provides effective disturbance attenuation with fast transient performance.

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Daniel Neri Cardoso, Guilherme Vianna Raffo. 2026-08-18. Stochastic Robust Linear W-infinity Control via Dynamic Output Feedback. https://arxiv.org/abs/2608.17910

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