Stein iterations for the coupled discrete-time Riccati equations (Q1044505): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.na.2009.06.025 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1982333042 / rank | |||
Normal rank | |||
Revision as of 01:46, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stein iterations for the coupled discrete-time Riccati equations |
scientific article |
Statements
Stein iterations for the coupled discrete-time Riccati equations (English)
0 references
18 December 2009
0 references
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.
0 references
Markovian jump linear system
0 references
Riccati matrix equation
0 references
Stein matrix equation
0 references
iterative method
0 references
discrete-time Riccati equations
0 references
positive definite solution
0 references
algorithm
0 references
quadratic optimal control problems
0 references
numerical example
0 references
