Title :
Monotonicity and Maximal Solution of Generalized Algebraic Riccati Equations
Author :
de Souza, Carlos E. ; Fragoso, Marcelo D.
Author_Institution :
Department of Electrical Engineering and Computer Science, University of Newcastle, N.S.W. 2307, Australia. FAX No. (049)60 1712. Email EECED@cc.oz.au
Abstract :
Monotonicity and existence of maximal solution is proved for a generalized version of the well-known standard algebraic Riccati equations which arise in certain stochastic optimal control problems.
Keywords :
Cost function; Difference equations; Eigenvalues and eigenfunctions; Laboratories; Optimal control; Research and development; Riccati equations; Scientific computing; Standards development; Symmetric matrices; Generalized algebraic Ricatti equations; Maximal solution; Monotonicity;
Conference_Titel :
American Control Conference, 1990
Conference_Location :
San Diego, CA, USA
