On discrete-time Riccati-like matrix difference equations with random coefficients

DOI10.1080/00207728308926465MaRDI QIDQ3669285zbMATH OpenOpenAlexFDO

Authors H. V. Panossian, Cornelius T. Leondes

Publication date 1983

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207728308926465

zbMATH Keywords

randomly varying parametersRiccati-like matrix difference equationstochastic discrete-time state-space linear system

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Additive difference equations (39A10) Linear systems in control theory (93C05) Adaptive control/observation systems (93C40) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Matrix equations and identities (15A24)

Cites work

• scientific article; zbMATH DE number 3682726 (Why is no real title available?)
• scientific article; zbMATH DE number 3539057 (Why is no real title available?)
• Adaptive control of linear stochastic systems
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• Differential-difference equations
• Dynamic programming and stochastic control
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• Gain and phase margin for multiloop LQG regulators
• Guaranteed cost solution of optimal control and game problems for uncertain systems
• Linear Quadratic Optimal Stochastic Control with Random Coefficients
• On Optimal Stochastic Control of Discrete-Time Systems in Hilbert Space
• On the discrete time algebraic Riccati equation
• On the matrix Riccati equation for linear systems with random gain
• Stochastic controllability of linear discrete systems with multiplicative noise

Cited in

(5)

• Sliding-horizon optimal and certainty-equivalent controllers for stabilizing stochastic-parameter systems
• Constant feedback stabilization of discrete-time systems with random-coefficients†
• Stochastic optimal linear feedback control systems using available measurements
• Reduced-order control of systems disturbed by randomly correlated noise sequences
• Optimal, stabilizing control of a stochastic system driven by randomly correlated noise

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