Title :
Continuity of the solution of the Riccati equations for continuous time JLQP
Author_Institution :
Inst. of Autom. Control, Silesian Tech. Univ., Gliwice, Poland
fDate :
5/1/2000 12:00:00 AM
Abstract :
In this paper the continuity of the solution of the differential and algebraic Riccati equations for a continuous-time, Markovian, jump linear quadratic control problem as a function of coefficients is verified. The assumptions for this are stochastic stabilizability and observability
Keywords :
Markov processes; Riccati equations; continuous time systems; differential equations; linear quadratic control; observability; stability; Markov process; Riccati equations; continuous-time systems; differential equations; jump parameter systems; linear quadratic control; observability; stabilizability; Differential algebraic equations; Differential equations; Filters; Maximum likelihood estimation; Optimal control; Parameter estimation; Random processes; Riccati equations; Statistical distributions; Stochastic processes;
Journal_Title :
Automatic Control, IEEE Transactions on
