Linearization of a matrix Riccati equation associated to an optimal control problem (Q2247880): Difference between revisions
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Revision as of 07:26, 5 March 2024
scientific article
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English | Linearization of a matrix Riccati equation associated to an optimal control problem |
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Linearization of a matrix Riccati equation associated to an optimal control problem (English)
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30 June 2014
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Summary: The matrix Riccati equation that must be solved to obtain the solution to stochastic optimal control problems known as LQG homing is linearized for a class of processes. The results generalize a theorem proved by Whittle and the one-dimensional case already considered by the authors. A particular two-dimensional problem is solved explicitly.
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matrix Riccati equation
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linearization
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stochastic optimal control
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LQG homing
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