Title :
Numerical solution of the state dependent noise problem
Author :
Kleinman, David L.
Author_Institution :
University of Connecticut, Storrs, CT, USA
fDate :
6/1/1976 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1976.1101248
