Advanced Search

Query:

Fill in the form and click »Search«...

Format:

Display: entries per page entries

Zbl 0992.93097
Rami, Mustapha Ait; Chen, Xi; Moore, John B.; Zhou, Xun Yu
Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls. (English)
[J] IEEE Trans. Autom. Control 46, No.3, 428-440 (2001). ISSN 0018-9286

Summary: The optimal control problem in a finite time horizon with an indefinite quadratic cost function for a linear system subject to multiplicative noise on both the state and control can be solved via a constrained matrix differential Riccati equation. In this paper, we provide general necessary and sufficient conditions for the solvability of this generalized differential Riccati equation. Furthermore, its asymptotic behavior is investigated along with its connection to the generalized algebraic Riccati equation associated with the linear quadratic control problem in infinite time horizon. Examples are presented to illustrate the results established.

MSC 2000:: *93E20 Optimal stochastic control (systems)
49N10 Linear-quadratic optimal control problems
93C05 Linear control systems

Keywords: indefinite stochastic linear quadratic control; linear matrix inequality; generalized differential Riccati equation; generalized algebraic Riccati equation

Comment on this Item PDF MathML XML ASCII DVI PS BibTeX Online Ordering Article Journal

	Scientific prize winners of the ICM 2010
	Overhang
	Lie groups, physics and geometry. An introduction for physicists, engineers and chemists.

Advanced Search

Zentralblatt MATH Berlin [Germany]