DocumentCode
2852593
Title
Solving non-standard Riccati equations using LMI optimization
Author
Ait-Rami, M. ; El Ghaoui, L.
Author_Institution
Ecole Nat. Superieure de Techniques Avancees, Paris, France
Volume
4
fYear
1995
fDate
13-15 Dec 1995
Firstpage
3855
Abstract
We consider coupled Riccati equations that arise in jump linear systems. We show how to reliably solve these equations using convex optimization over linear matrix inequalities (LMIs). The result extends to other nonstandard Riccati equations, such as those arising in the optimal control of linear systems subject to state-dependent multiplicative noise
Keywords
Riccati equations; matrix algebra; optimal control; optimisation; stochastic systems; LMI optimization; convex optimization; coupled Riccati equations; jump linear systems; linear matrix inequalities; linear systems; nonstandard Riccati equations; optimal control; state-dependent multiplicative noise; Constraint theory; Linear matrix inequalities; Linear systems; Microwave integrated circuits; Optimal control; Optimization methods; Riccati equations; Stochastic processes; Symmetric matrices; Vectors;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1995., Proceedings of the 34th IEEE Conference on
Conference_Location
New Orleans, LA
ISSN
0191-2216
Print_ISBN
0-7803-2685-7
Type
conf
DOI
10.1109/CDC.1995.479199
Filename
479199
Link To Document