Title :
Solving non-standard Riccati equations using LMI optimization
Author :
Ait-Rami, M. ; El Ghaoui, L.
Author_Institution :
Ecole Nat. Superieure de Techniques Avancees, Paris, France
Abstract :
We consider coupled Riccati equations that arise in jump linear systems. We show how to reliably solve these equations using convex optimization over linear matrix inequalities (LMIs). The result extends to other nonstandard Riccati equations, such as those arising in the optimal control of linear systems subject to state-dependent multiplicative noise
Keywords :
Riccati equations; matrix algebra; optimal control; optimisation; stochastic systems; LMI optimization; convex optimization; coupled Riccati equations; jump linear systems; linear matrix inequalities; linear systems; nonstandard Riccati equations; optimal control; state-dependent multiplicative noise; Constraint theory; Linear matrix inequalities; Linear systems; Microwave integrated circuits; Optimal control; Optimization methods; Riccati equations; Stochastic processes; Symmetric matrices; Vectors;
Conference_Titel :
Decision and Control, 1995., Proceedings of the 34th IEEE Conference on
Conference_Location :
New Orleans, LA
Print_ISBN :
0-7803-2685-7
DOI :
10.1109/CDC.1995.479199
