Linearization of a Matrix Riccati Equation Associated to an Optimal Control Problem. (6th April 2014)

• Record Type: Journal Article
• Authors: Zitouni, Foued; Lefebvre, Mario
• Other Names: El-Sayed Ahmed Academic Editor.
• Is Part Of: International journal of differential equations. Volume 2014(2014)
• Publication Date: 2014-04-06
• Subjects: Differential equations -- Periodicals; Differential equations; Periodicals; 515.35
• DOI: 10.1155/2014/741390
• Languages: English
• ISSNs: 1687-9643

Abstract

Abstract : The matrix Riccati equation that must be solved to obtain the solution to stochastic optimal control problems known as LQG homing is linearized for a class of processes. The results generalize a theorem proved by Whittle and the one-dimensional case already considered by the authors. A particular two-dimensional problem is solved explicitly.