• DocumentCode
    1140665
  • 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
  • Volume
    39
  • Issue
    8
  • fYear
    1994
  • fDate
    8/1/1994 12:00:00 AM
  • Firstpage
    1631
  • Lastpage
    1636
  • 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;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/9.310038
  • Filename
    310038
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1140665