• DocumentCode
    821569
  • Title

    Numerical solution of the state dependent noise problem

  • Author

    Kleinman, David L.

  • Author_Institution
    University of Connecticut, Storrs, CT, USA
  • Volume
    21
  • Issue
    3
  • fYear
    1976
  • fDate
    6/1/1976 12:00:00 AM
  • Firstpage
    419
  • Lastpage
    420
  • Abstract
    A numerical technique is given for solving the matrix quadratic equation that arises in the optimal stationary control of linear systems with state (and/or control) dependent noise. The technique exploits fully existing, efficient algorithms for the matrix Lyapunov and Ricatti equations. The computational requirements are discussed, with an associated example.
  • Keywords
    Algebraic Riccati equation (ARE); Linear systems, stochastic continuous-time; Matrix equations; Optimal stochastic control; Riccati equations, algebraic; Stochastic optimal control; Adaptive control; Control systems; Covariance matrix; Error correction; Feedback control; Iterative algorithms; Linear systems; MIMO; Optimal control; Riccati equations;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1976.1101248
  • Filename
    1101248
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=821569