A Numerical Solution of the Stochastic Discrete Algebraic Riccati Equation
نویسندگان
چکیده
منابع مشابه
The Descriptor Discrete–time Riccati Equation: Numerical Solution and Applications∗
We investigate the numerical solution of a descriptor type discrete–time Riccati equation and give its main applications in several key problems in robust control formulated under very general hypotheses: rank compression (squaring down) of improper or polynomial systems with L∞–norm preservation, (J, J ′)–spectral and (J, J ′)–lossless factorizations of a completely general discrete–time syste...
متن کاملNumerical Solution of Projected Algebraic Riccati Equations
We consider the numerical solution of projected algebraic Riccati equations using Newton’s method. Such equations arise, for instance, in model reduction of descriptor systems based on positive real and bounded real balanced truncation. We also discuss the computation of low-rank Cholesky factors of the solutions of projected Riccati equations. Numerical examples are given that demonstrate the ...
متن کاملNumerical Solution of Algebraic Riccati Equations
Society for induStrial and applied MatheMaticS Numerical Solution of Algebraic Riccati Equations Dario A. Bini, Bruno Iannazzo, and Beatrice Meini Fundamentals of Algorithms 9 This concise and comprehensive treatment of the basic theory of algebraic Riccati equations describes the classical as well as the more advanced algorithms for their solution in a manner that is accessible to both practit...
متن کاملNumerical Solution of Heun Equation Via Linear Stochastic Differential Equation
In this paper, we intend to solve special kind of ordinary differential equations which is called Heun equations, by converting to a corresponding stochastic differential equation(S.D.E.). So, we construct a stochastic linear equation system from this equation which its solution is based on computing fundamental matrix of this system and then, this S.D.E. is solved by numerically methods. Moreo...
متن کاملLower Bounds for the Trace of the Solution of the Discrete Algebraic Riccati Equation
In this note, we first give necessary and sufficient conditionsfor the Hunvitz stability of the family A of polynomials 6(s) = Pm,_(s),where the polynomials F i ( s ) are fixed; and the polynomials Manuscript received July 20, 1990; revised April 18, 1991, and October4. 1991. This work was supportcd by the National Science Foundationunder Grants ECS-8914357, ECS-8613315, and ECS...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Transactions of the Institute of Systems, Control and Information Engineers
سال: 2003
ISSN: 1342-5668,2185-811X
DOI: 10.5687/iscie.16.507