Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
842224 | Nonlinear Analysis: Theory, Methods & Applications | 2009 | 10 Pages |
Abstract
We consider a set of discrete-time coupled algebraic Riccati equations that arise in quadratic optimal control of Markovian jump linear systems. Two iterations for computing a symmetric (maximal) solution of this system are investigated. We construct sequences of the solutions of the decoupled Stein equations and show that these sequences converge to a solution of the considered system. Numerical experiments are given.
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Authors
Ivan Ganchev Ivanov,