Stein iterations for the coupled discrete-time Riccati equations (Q1044505): Difference between revisions
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Revision as of 00:46, 20 March 2024
scientific article
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| English | Stein iterations for the coupled discrete-time Riccati equations |
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Stein iterations for the coupled discrete-time Riccati equations (English)
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18 December 2009
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Markovian jump linear systems (MJLS) are a class of models used to represent discrete jumps in continuous dynamics. This paper deals with iterative algorithms for computing solutions of a set of coupled algebraic Riccati equations that appears in quadratic optimal control problems for discrete-time MJLS. Two algorithms using decoupled Stein matrix equations are presented. A numerical example illustrates the proposed methods.
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Markovian jump linear system
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Riccati matrix equation
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Stein matrix equation
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iterative method
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discrete-time Riccati equations
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positive definite solution
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algorithm
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quadratic optimal control problems
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numerical example
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