On a class of rational matrix differential equations arising in stochastic control.
From MaRDI portal
Publication:1426291
DOI10.1016/S0024-3795(02)00651-1zbMath1070.34054MaRDI QIDQ1426291
Publication date: 14 March 2004
Published in: Linear Algebra and its Applications (Search for Journal in Brave)
comparison theoremgeneralized Riccati differential equationsexistence and convergence resultsgeneralized stabilizability and detectabilityrational matrix differential equations
Nonlinear ordinary differential equations and systems (34A34) Oscillation theory, zeros, disconjugacy and comparison theory for ordinary differential equations (34C10) Asymptotic properties of solutions to ordinary differential equations (34D05)
Related Items (25)
On the Matrix EquationX = Q − S∗X†S ⋮ On some iterations for optimal control of jump linear equations ⋮ Controllability and observability of complex \([r\)-matrix time-varying impulsive systems] ⋮ Reduction of discrete algebraic Riccati equations: elimination of generalized eigenvalues on the unit circle ⋮ Perturbation Theory for Linearly Perturbed Algebraic Riccati Equations ⋮ On detectability of stochastic systems ⋮ Filtering \(\mathcal{S}\)-coupled algebraic Riccati equations for discrete-time Markov jump systems ⋮ Properties of Stein (Lyapunov) iterations for solving a general Riccati equation ⋮ Small-sample statistical condition estimation of rational Riccati equations ⋮ Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems ⋮ Approximating and computing nonlinear matrix differential models ⋮ Stochastic Algebraic Riccati Equations Are Almost as Easy as Deterministic Ones Theoretically ⋮ An adaptive dynamic programming-based algorithm for infinite-horizon linear quadratic stochastic optimal control problems ⋮ Iterative algorithms for computing the feedback Nash equilibrium point for positive systems ⋮ Iterations for solving a rational Riccati equation arising in stochastic control ⋮ The discrete-time generalized algebraic Riccati equation: order reduction and solutions' structure ⋮ Generalized Riccati equations arising in stochastic games ⋮ Discussion on: ``An algorithm for solving a perturbed algebraic Riccati equation ⋮ Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control ⋮ The geometry of the generalized algebraic Riccati equation and of the singular Hamiltonian system ⋮ On the reduction of the continuous-time generalized algebraic Riccati equation: an effective procedure for solving the singular LQ problem with smooth solutions ⋮ Properties of the solutions of rational matrix difference equations ⋮ Detectability, Observability, and Asymptotic Reconstructability of Positive Systems ⋮ Homotopy for Rational Riccati Equations Arising in Stochastic Optimal Control ⋮ A survey of nonsymmetric Riccati equations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A general reduction of order theorem for discrete linear symplectic systems
- Inertia characteristics of self-adjoint matrix polynomials
- Existence and comparison theorems for algebraic Riccati equations for continuous- and discrete-time systems
- On resolvent positive operators and positive \(C_ 0\)-semigroups on AL- spaces
- Global solutions to a game-theoretic Riccati equation of stochastic control
- A new approach to lineary perturbed Riccati equations arising in stochastic control
- Systems of matrix rational differential equations arising in connection with linear stochastic systems with Markovian jumping.
- Properties of the solutions of rational matrix difference equations
- Newton's method for concave operators with resolvent positive derivatives in ordered Banach spaces
- Generalized Riccati difference and differential equations
- Existence and comparison theorems for algebraic Riccati equations and Riccati differential and difference equations
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II
- Stochastic stability properties of jump linear systems
- Stochastic $H^\infty$
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
- Solution and asymptotic behavior of coupled Riccati equations in jump linear systems
- Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
- Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
- Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls
- Stability and robust stabilization to linear stochastic systems described by differential equations with markovian jumping and multiplicative white noise
- On a Matrix Riccati Equation of Stochastic Control
- Monotoneity Properties of Solutions of Hermitian Riccati Matrix Differential Equations
- Conditions for Positive and Nonnegative Definiteness in Terms of Pseudoinverses
- Stochastic linear quadratic optimal control problems
- Newton's method for a rational matrix equation occurring in stochastic control
- Montononicity of the optimal cost in the discrete-time regulator problem and Schur complements
This page was built for publication: On a class of rational matrix differential equations arising in stochastic control.
