Iterative algorithm to compute the maximal and stabilising solutions of a general class of discrete-time Riccati-type equations

DOI10.1080/00207170903460493zbMath1209.93091OpenAlexW2088439045MaRDI QIDQ3577886

Adrian-Mihail Stoica, Vasile Dragan, Toader Morozan

Publication date: 26 July 2010

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207170903460493

zbMATH Keywords

stochastic controlmaximal solutionnumerical computationsstabilising solutiondiscrete-time coupled Riccati equations

Mathematics Subject Classification ID

Newton-type methods (49M15) Discrete-time control/observation systems (93C55) Adaptive or robust stabilization (93D21) Optimal stochastic control (93E20)

Related Items (3)

A new iteration to coupled discrete-time generalized Riccati equations ⋮ The iterative solution to discrete-time \(H_\infty\) control problems for periodic systems ⋮ H₂control of discrete-time periodic systems with Markovian jumps and multiplicative noise

Cites Work

• Mean square exponential stability for some stochastic linear discrete time systems
• Properties of the solutions of rational matrix difference equations
• Exponential stability for discrete time linear equations defined by positive operators
• Stabilization of a class of stochastic differential equations with Markovian switching
• Stabilization of some stochastic discrete–time control systems
• Discrete-time markovian-jump linear quadratic optimal control
• Feedback control of a class of linear discrete systems with jump parameters and quadratic cost criteria †
• Discrete-time jump LQG problem
• Mean-square stabilizing solutions for discrete-time coupled algebraic Riccati equations
• On a Matrix Riccati Equation of Stochastic Control

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