Solution of the state-dependent noise optimal control problem in terms of Lyapunov iterations
type: Item
instance of: scholarly article
title: Solution of the state-dependent noise optimal control problem in terms of Lyapunov iterations
zbMATH Open document ID: 0934.93070
DOI: 10.1016/S0005-1098(98)00232-5
author: Ricardo Losada
author: Zoran Gajic
published in: Automatica
publication date: 2000-01-23T00:00:00Z
review text: The authors consider the linear quadratic regulator for a linear system disturbed by white noise and by an independent state dependent white noise. For the associated Riccati-type equation, they study the convergence of an algorithm based on Lyapunov iterations, show how to initialise the iterations to achieve convergence, and prove it.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49N10
zbMATH DE Number: 1325766
zbMATH Keywords: stochastic control
zbMATH Keywords: linear-quadratic regulators
zbMATH Keywords: Lyapunov methods
zbMATH Keywords: numerical algorithms
zbMATH Keywords: algebraic Riccati equations
reviewed by: Georgi N. Boshnakov
MaRDI profile type: Publication
full work available at URL: s0005-1098(98)00232-5
OpenAlex ID: W2071768597
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description: scientific article; zbMATH DE number 1325766