Aim\ To study the design of multiple objective synthesis approach for linear continuous stochastic systems. Methods\ Using Linear Matrix Inquality to design the state feedback law such that the closed loop systems satisfy the H ∞ constraint

pole placement and steady state covariance assigment simultaneously. Results\ Obtained the conditions that the state feedback meets and proposed the algorithm for finding the state feedback matrix. Conclusion\ The proposed method is verified by numerical examples and the results show that the aproach is available.