Title :
Solution and asymptotic behavior of coupled Riccati equations in jump linear systems
Author :
Abou-Kandil, H. ; Freiling, G. ; Jank, G.
Author_Institution :
Ecole Normale Superieure, Cachan, France
fDate :
8/1/1994 12:00:00 AM
Abstract :
A new necessary and sufficient condition for the existence of a positive semidefinite solution of coupled Riccati equations occurring in jump linear systems is derived. By verifying a Riccati inequality it is shown that such a solution exists; in addition two numerical algorithms are given to compute it. An example is given to illustrate the proposed method
Keywords :
Markov processes; linear systems; matrix algebra; stochastic systems; Riccati inequality; asymptotic behavior; coupled Riccati equations; jump linear systems; necessary and sufficient condition; positive semidefinite solution; Controllability; Differential algebraic equations; Linear systems; Observability; Optimal control; Riccati equations; Stochastic processes; Stochastic systems; Sufficient conditions; Vectors;
Journal_Title :
Automatic Control, IEEE Transactions on
