Title :
A priori bound for optimal stochastic control problem with multiplicative noise
Author_Institution :
Marmara Research Institute, Department of Applied Mathematics, Gebze-Kocaeh, Turkey
Abstract :
An easy-to-evaluate lower bound on the spectral norm of the solution to a nonlinear matrix equation arising in control of linear systems with state and control dependent noise is found. The result enables one to speculate as to the magnitude of the solution matrix.
Keywords :
linear systems; matrix algebra; optimal control; stochastic systems; control dependent noise; linear systems; lower bound; multiplicative noise; nonlinear matrix equation; optimal stochastic control; spectral norm; state dependent noise;
Journal_Title :
Electronics Letters
DOI :
10.1049/el:19830097
