DocumentCode
822319
Title
On the matrix Riccati equation for linear systems with random gain
Author
Katayama, Takeo
Author_Institution
Kyoto University, Kyoto, Japan
Volume
21
Issue
5
fYear
1976
fDate
10/1/1976 12:00:00 AM
Firstpage
770
Lastpage
771
Abstract
Considered is the asymptotic property of the discrete-time matrix Riccati equation arising in the optimal control of linear systems with a random gain. The instability and stability conditions are derived in terms of the degree of stability of the state transition matrix.
Keywords
Asymptotic stability; Linear systems, stochastic discrete-time; Optimal stochastic control; Riccati equations; Stochastic optimal control; Cost function; Feedback control; Linear systems; Macroeconomics; Optimal control; Physics; Riccati equations; Stability; Steady-state; Symmetric matrices;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1976.1101325
Filename
1101325
Link To Document