Abstract
This deals with a generalized version of the standard matrix Riccati equations which arises in certain stochastic optimal control problems. A novelty here, regarding previous works, is that it is assumed that the systems are not necessarily detectable, including those having nonobservable modes on the imaginary axis. The collection of results which are derived in this paper includes, inter alia, the following: a) existence and uniqueness of nonnegative definite solutions of the generalized algebraic Riccati equations which give rise to stable closed loop systems in the case of non-detectable systems; b) new convergence results for the solution of the generalized Riccati differential equation under relatively weaker assumptions.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
S.W. Chan, G.C. Goodwin and K.S. Sin, Convergence properties of the Riccati difference equation in optimal filtering of nonstabilizable systems, IEEE Trans. Auto. Control, AC-29 (1984), 110–118.
C.E. de Souza and M.D. Fragoso, Results on generalized Riccati equations arising in stochastic control, Technical Report EE8829, Department of Electrical and Computer Engineering, University of Newcastle, N.S.W., Australia, 1988.
C.E. de Souza, M.R. Gevers and G.C. Goodwin, Riccati equations in optimal filtering of nonstabilizable systems having singular state transition matrices, IEEE Trans.Auto.Control, AC-31 (1986), 831–838.
M.D. Fragoso, On a partially observable LQG problem for systems with Marhouian jumping parameters, Syst.Control.Lett., 10 (1988) 349–356.
M.D. Fragoso, Optimal control for a class of noisy linear systems with Marhovian jumping parameters and quadratic cost, to appear.
D.D. Sworder, Feedback control of a class of linear systems with jump parameters, IEEE Trans. Auto. Control, AC-18 (1969), 9–14.
W.M. Wonham, On a matrix Riccati equation of stochastic control, SIAM J. Control, 4 (1968), 681–697.
W.M. Wonham, Random differential equations in control theory, in Probabilistic Methods in Applied Mathematics, A.T. Bharucha Reid, ed., Vol. 2, Academic Press, New York, 1970, 131–212.
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1990 Birkhäuser Boston
About this chapter
Cite this chapter
de Souza, C.E., Fragoso, M.D. (1990). Results on Generalised Riccati Equations Arising in Stochastic Control. In: Kaashoek, M.A., van Schuppen, J.H., Ran, A.C.M. (eds) Robust Control of Linear Systems and Nonlinear Control. Progress in Systems and Control Theory, vol 4. Birkhäuser Boston. https://doi.org/10.1007/978-1-4612-4484-4_6
Download citation
DOI: https://doi.org/10.1007/978-1-4612-4484-4_6
Publisher Name: Birkhäuser Boston
Print ISBN: 978-1-4612-8839-8
Online ISBN: 978-1-4612-4484-4
eBook Packages: Springer Book Archive