Stabilizing solution of periodic game-theoretic Riccati differential equation of stochastic control

被引：3

作者：

Dragan, Vasile ^{[1
]}

机构：

[1] Simion Stoilow Romanian Acad, Res Unit 2, Inst Math, RO-014700 Bucharest, Romania

来源：

IMA JOURNAL OF MATHEMATICAL CONTROL AND INFORMATION | 2015年 / 32卷 / 04期

关键词：

game-theoretic Riccati differential equations; periodic coefficients; stabilizing solution;

D O I：

10.1093/imamci/dnu026

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 work, a class of game-theoretic Riccati differential equations with periodic coefficients occurring in connection with stochastic H-az control problem is considered. An iterative algorithm for the computation of the stabilizing solution of this kind of Riccati differential equations with indefinite sign is proposed.

引用

页码：839 / 865

页数：27

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