Linear quadratic regulation problem for discrete-time systems with multi-channel multiplicative noise

DOI10.1016/j.sysconle.2015.12.017zbMath1335.93145WikidataQ57606091 ScholiaQ57606091MaRDI QIDQ254715

Xinmin Song, Juhyun Park

Publication date: 8 March 2016

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

Full work available at URL: https://doi.org/10.1016/j.sysconle.2015.12.017

zbMATH Keywords

convergence; generalized Riccati equation; multiplicative noise; LQR; multi-channel

Mathematics Subject Classification ID

93C55: Discrete-time control/observation systems

93C05: Linear systems in control theory

93E20: Optimal stochastic control

49N10: Linear-quadratic optimal control problems