Linearization of a Matrix Riccati Equation Associated to an Optimal Control Problem

Foued Zitouni and Mario Lefebvre

International Journal of Differential Equations, 2014, vol. 2014, 1-7

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.

Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/IJDE/2014/741390.pdf (application/pdf)
http://downloads.hindawi.com/journals/IJDE/2014/741390.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijde:741390

DOI: 10.1155/2014/741390

Access Statistics for this article

More articles in International Journal of Differential Equations from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().