• Mathematics, Computer Science
  • Published in IEEE Trans. Automat. Contr. 2001
  • DOI:10.1109/9.911419

Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls

@article{Rami2001SolvabilityAA,
  title={Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls},
  author={Mustapha Ait Rami and Xiao Dong Chen and John B. Moore and Xun Yu Zhou},
  journal={IEEE Trans. Automat. Contr.},
  year={2001},
  volume={46},
  pages={428-440}
}
The optimal control problem in a finite time horizon with an indefinite quadratic cost function for a linear system subject to multiplicative noise on both the state and control can be solved via a constrained matrix differential Riccati equation. In this paper, we provide general necessary and sufficient conditions for the solvability of this generalized differential Riccati equation. Furthermore, its asymptotic behavior is investigated along with its connection to the generalized algebraic… CONTINUE READING

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