Title :
On the matrix Riccati equation for linear systems with random gain
Author_Institution :
Kyoto University, Kyoto, Japan
fDate :
10/1/1976 12:00:00 AM
Abstract :
Considered is the asymptotic property of the discrete-time matrix Riccati equation arising in the optimal control of linear systems with a random gain. The instability and stability conditions are derived in terms of the degree of stability of the state transition matrix.
Keywords :
Asymptotic stability; Linear systems, stochastic discrete-time; Optimal stochastic control; Riccati equations; Stochastic optimal control; Cost function; Feedback control; Linear systems; Macroeconomics; Optimal control; Physics; Riccati equations; Stability; Steady-state; Symmetric matrices;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1976.1101325
