Riccati Equations from Stochastic LQR Problem
نویسنده
چکیده
In this paper we consider a class of matrix Riccati equations arising from stochastic LQR problems. We prove a monotonicity of solutions to the differential Riccati equations, which leads to a necessary and sufficient condition for the existence of solutions to the algebraic Riccati equations. In addition, we obtain results on comparison, uniqueness, stabilizability and approximation for solutions of the algebraic Riccati equations.
منابع مشابه
General Algebraic and Differential Riccati Equations from Stochastic LQR Problem
In this paper we consider a class of matrix Riccati equations arising from stochastic LQR problems. We prove a monotonicity of solutions to the differential Riccati equations, which leads to a necessary and sufficient condition for the existence of solutions to the algebraic Riccati equations. In addition, we obtain results on comparison, uniqueness, stabilizability and approximation for soluti...
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