Linearization of a Matrix Riccati Equation Associated to an Optimal Control Problem
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 tw...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Wiley
2014-01-01
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| Series: | International Journal of Differential Equations |
| Online Access: | http://dx.doi.org/10.1155/2014/741390 |
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| _version_ | 1832564358521028608 |
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| author | Foued Zitouni Mario Lefebvre |
| author_facet | Foued Zitouni Mario Lefebvre |
| author_sort | Foued Zitouni |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-c9d3ddec83c741508b350bedb44d83a0 |
| institution | Kabale University |
| issn | 1687-9643 1687-9651 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | International Journal of Differential Equations |
| spelling | doaj-art-c9d3ddec83c741508b350bedb44d83a02025-02-03T01:11:14ZengWileyInternational Journal of Differential Equations1687-96431687-96512014-01-01201410.1155/2014/741390741390Linearization of a Matrix Riccati Equation Associated to an Optimal Control ProblemFoued Zitouni0Mario Lefebvre1Département de Mathématiques et de Statistique, Université de Montréal, CP 6128, Succursale Centre-Ville, Montréal, QC, H3C 3J7, CanadaDépartement de Mathématiques et de Génie Industriel, École Polytechnique, CP 6079, Succursale Centre-Ville, Montréal, QC, H3C 3A7, CanadaThe 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.http://dx.doi.org/10.1155/2014/741390 |
| spellingShingle | Foued Zitouni Mario Lefebvre Linearization of a Matrix Riccati Equation Associated to an Optimal Control Problem International Journal of Differential Equations |
| title | Linearization of a Matrix Riccati Equation Associated to an Optimal Control Problem |
| title_full | Linearization of a Matrix Riccati Equation Associated to an Optimal Control Problem |
| title_fullStr | Linearization of a Matrix Riccati Equation Associated to an Optimal Control Problem |
| title_full_unstemmed | Linearization of a Matrix Riccati Equation Associated to an Optimal Control Problem |
| title_short | Linearization of a Matrix Riccati Equation Associated to an Optimal Control Problem |
| title_sort | linearization of a matrix riccati equation associated to an optimal control problem |
| url | http://dx.doi.org/10.1155/2014/741390 |
| work_keys_str_mv | AT fouedzitouni linearizationofamatrixriccatiequationassociatedtoanoptimalcontrolproblem AT mariolefebvre linearizationofamatrixriccatiequationassociatedtoanoptimalcontrolproblem |