Title :
Sensitivity of the solutions to differential matrix Riccati equations
Author :
Konstantinov, M.M. ; Pelova, G.B.
Author_Institution :
Dept. of Math., High Sch. of Archit. & Civil Eng., Sofia, Bulgaria
fDate :
2/1/1991 12:00:00 AM
Abstract :
A nonlocal sensitivity analysis of differential matrix Riccati equations arising in the design of linear optimal systems with quadratic cost and optimal filters is presented. A perturbation bound for the state of the closed-loop system is also given. The approach proposed for studying the sensitivity of the solution to perturbations in the data may be easily extended to more general differential matrix quadratic equations
Keywords :
closed loop systems; differential equations; filtering and prediction theory; linear systems; matrix algebra; optimal systems; closed-loop system; differential matrix Riccati equations; differential matrix quadratic equations; linear optimal systems; nonlocal sensitivity analysis; optimal filters; perturbation bound; quadratic cost; Computer errors; Cost function; Differential algebraic equations; Differential equations; Linear systems; Nonlinear filters; Riccati equations; Roundoff errors; Sensitivity analysis; Symmetric matrices;
Journal_Title :
Automatic Control, IEEE Transactions on
