Solution of the state-dependent noise optimal control problem in terms of Lyapunov iterations (Q1298247)
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| English | Solution of the state-dependent noise optimal control problem in terms of Lyapunov iterations |
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Solution of the state-dependent noise optimal control problem in terms of Lyapunov iterations (English)
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23 January 2000
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The authors consider the linear quadratic regulator for a linear system disturbed by white noise and by an independent state dependent white noise. For the associated Riccati-type equation, they study the convergence of an algorithm based on Lyapunov iterations, show how to initialise the iterations to achieve convergence, and prove it.
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stochastic control
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linear-quadratic regulators
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Lyapunov methods
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numerical algorithms
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algebraic Riccati equations
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