제어로봇시스템학회:학술대회논문집
- 2001.10a
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- Pages.33.4-33
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- 2001
Solvability of Stochastic Discrete Algebraic Riccati Equation
Abstract
This paper considers a stochastic discrete algebraic Riccati equation, which is a generalized version of the well-known standard discrete algebraic Riccati equation, and has additional linear terms. Under controllability, observability and the assumption that the additional terms are not too large, the existence of a positive definite solution is guaranteed. It is shown that it arises in optimal control of a linear discrete-time system with multiplicative White noise and quadratic cost. A numerical example is given.
Keywords