Article ID Journal Published Year Pages File Type
842224 Nonlinear Analysis: Theory, Methods & Applications 2009 10 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Engineering Engineering (General)
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