Skip navigation
Skip navigation

Solvability and Asymptotic Behavior of Generalized Riccati equations arising in Indefinite Stochastic LQ Controls

Rami, Mustapha Ait; Chen, Xi; Moore, John; Zhou, Xun

Description

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...[Show more]

CollectionsANU Research Publications
Date published: 2001
Type: Journal article
URI: http://hdl.handle.net/1885/69287
Source: IEEE Transactions on Automatic Control
DOI: 10.1109/9.911419

Download

There are no files associated with this item.


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  23 August 2018/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator