DocumentCode
1032331
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
Volume
40
Issue
11
fYear
1995
fDate
11/1/1995 12:00:00 AM
Firstpage
1971
Lastpage
1975
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;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.471227
Filename
471227
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