On the Existence of a Stabilizing Solution of Modified Algebraic Riccati Equations in Terms of Standard Algebraic Riccati Equations and Linear Matrix Inequalities

被引：8
|
作者：
Vargas, Francisco J. [1 ]
Gonzalez, Rodrigo A. [2 ]
机构：
[1] Univ Tecn Federico Santa Maria, Elect Engn Dept, Valparaiso 2390123, Chile
[2] KTH Royal Inst Technol, Div Decis & Control Syst, S-10044 Stockholm, Sweden
来源：
IEEE CONTROL SYSTEMS LETTERS | 2020年 / 4卷 / 01期
基金：
瑞典研究理事会;
关键词：
Modified algebraic Riccati equation; mean-square stabilizing solution; linear matrix inequalities; stochastic control; SYSTEMS;
D O I：
10.1109/LCSYS.2019.2921998
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this letter, we study conditions for the existence of stabilizing solutions of two classes of modified discrete algebraic Riccati equations (MAREs) emerging in stochastic control problems. In order to do so, we first rewrite each MARE in terms of a standard ARE subject to specific constraints, which allows us to connect their solution with a set of linear-control constrained problems. With this result we also determine, for each MARE, a linear matrix inequality problem whose feasibility is guaranteed if and only if a stabilizing solution of the original MARE exists.
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页码：91 / 96
页数：6
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