Solvability of Stochastic Discrete Algebraic Riccati Equation
نویسندگان
چکیده
منابع مشابه
Intervals of solutions of the discrete-time algebraic Riccati equation
If two solutions Y ≤ Z of the DARE are given then the set of solutions X with Y ≤ X ≤ Z can be parametrized by invariant subspaces of the closed loop matrix corresponding to Y . The paper extends the geometric theory of Willems from the continuous-time to the discrete-time ARE making the weakest possible assumptions.
متن کاملContinuity of the Algebraic Riccati Equation for Stochastic Linear Systems
The algebraic Riccati equation plays the central role in the computation of the optimal control in the infinite time deterministic and stochastic linear regulator problem (Theorem 1). The problem of adaptive control of stochastic system combines the problems of identification and control of unknown system [3]. The most desirable solution of a stochastic adaptive control problem is to exhibit a ...
متن کاملPerturbation Analysis of the Periodic Discrete-Time Algebraic Riccati Equation
This paper is devoted to the perturbation analysis for the periodic discrete-time algebraic Riccati equations (P-DAREs). Perturbation bounds and condition numbers of the Hermitian positive semidefinite solution set to the P-DAREs are obtained. The results are illustrated by numerical examples.
متن کاملAn efficient algorithm for the discrete-time algebraic Riccati equation
In this paper the authors develop a new algorithm to solve the standard discrete-time algebraic Riccati equation by using a skewHamiltonian transformation and the square-root method. The algorithm is structure-preserving and efficient because the Hamiltonian structure is fully exploited and only orthogonal transformations are used. The efficiency and stability of the algorithm are analyzed. Num...
متن کاملSolvability of the $H^\infty$ algebraic Riccati equation in Banach algebras
Let R be a commutative complex unital semisimple Banach algebra with the involution ·⋆. Sufficient conditions are given for the existence of a stabilizing solution to the H ∞ Riccati equation when the matricial data has entries from R. Applications to spatially distributed systems are discussed.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Transactions of the Society of Instrument and Control Engineers
سال: 2002
ISSN: 0453-4654
DOI: 10.9746/sicetr1965.38.227