DocumentCode
1483108
Title
Coupled matrix Riccati equations in minimal cost variance control problems
Author
Freiling, G. ; Lee, S.-R. ; Jank, G.
Author_Institution
Duisburg Univ., Germany
Volume
44
Issue
3
fYear
1999
fDate
3/1/1999 12:00:00 AM
Firstpage
556
Lastpage
560
Abstract
We present an algorithm for the solution of a nontrivial coupled system of algebraic Riccati equations appearing in risk sensitive control problems. Moreover, we use comparison methods to derive non-blowup conditions for the solutions of a corresponding terminal value problem for coupled systems of Riccati differential equations
Keywords
Riccati equations; differential equations; matrix algebra; optimal control; coupled matrix Riccati equations; minimal cost variance control problems; nonblowup conditions; risk sensitive control problems; terminal value problem; Boundary value problems; Control systems; Costs; Differential algebraic equations; Differential equations; Riccati equations; Sufficient conditions;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.751349
Filename
751349
Link To Document