On the existence of maximal solution for generalized algebraic Riccati equations arising in stochastic control

DOI10.1016/0167-6911(90)90018-PzbMath0701.93106OpenAlexW2085381079MaRDI QIDQ914643

Carlos E. de Souza, Marcelo Dutra Fragoso

Publication date: 1990

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(90)90018-p

zbMATH Keywords

maximal solutiongeneralized algebraic Riccati equations

Mathematics Subject Classification ID

Matrix equations and identities (15A24) Optimal stochastic control (93E20)

Related Items (14)

Perturbations and projections of Kalman-Bucy semigroups ⋮ Discrete-time indefinite stochastic LQ control via SDP and LMI methods ⋮ Indefinite LQ control for discrete-time stochastic systems via semidefinite programming ⋮ Discrete-time indefinite stochastic linear quadratic optimal control with second moment constraints ⋮ On stabilizability and exact observability of stochastic systems with their applications. ⋮ Existence and comparison theorems for algebraic Riccati equations and Riccati differential and difference equations ⋮ Maximal solution of a certain class of periodic Riccati differential equations ⋮ Maximal solution to algebraic Riccati equations linked to infinite Markov jump linear systems ⋮ Maximal versus strong solution to algebraic Riccati equations arising in infinite Markov jump linear systems ⋮ Two iterative algorithms for stochastic algebraic Riccati matrix equations ⋮ Newton's method for a rational matrix equation occurring in stochastic control ⋮ On the robustness of Riccati flows to complete model misspecification ⋮ Properties of the solutions of rational matrix difference equations ⋮ Discussion on: ``An algorithm for solving a perturbed algebraic Riccati equation

Cites Work

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• Monotonicity of maximal solutions of algebraic Riccati equations
• On a partially observable LQG problem for systems with Markovian jumping parameters
• A new approach to lineary perturbed Riccati equations arising in stochastic control
• On Hermitian Solutions of the Symmetric Algebraic Riccati Equation
• On a Matrix Riccati Equation of Stochastic Control

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