Title :
Lyapunov iterations for optimal control of jump linear systems at steady state
Author :
Gajic, Z. ; Borno, I.
Author_Institution :
Dept. of Electr. & Comput. Eng., Rutgers Univ., Piscataway, NJ, USA
fDate :
11/1/1995 12:00:00 AM
Abstract :
In this paper we construct a sequence of Lyapunov algebraic equations,whose solutions converge to the solutions of the coupled algebraic Riccati equations of the optimal control problem for jump linear systems. The obtained solutions are positive semidefinite, stabilizing, and unique. The proposed algorithm is extremely efficient from the numerical point of view since it operates only on the reduced-order decoupled Lyapunov equations, Several examples are included to demonstrate the procedure
Keywords :
Lyapunov methods; iterative methods; optimal control; stochastic systems; Lyapunov algebraic equations; Lyapunov iterations; coupled algebraic Riccati equations; jump linear systems; optimal control; positive semidefinite stabilizing unique solutions; reduced-order decoupled Lyapunov equations; Control systems; Differential algebraic equations; Feedback; Linear systems; Newton method; Nonlinear equations; Optimal control; Riccati equations; Steady-state; Vectors;
Journal_Title :
Automatic Control, IEEE Transactions on
