Perturbation analysis of the stochastic algebraic Riccati equation
نویسندگان
چکیده
منابع مشابه
Perturbation Analysis of the Periodic Discrete-Time Algebraic Riccati Equation
This paper is devoted to the perturbation analysis for the periodic discrete-time algebraic Riccati equations (P-DAREs). Perturbation bounds and condition numbers of the Hermitian positive semidefinite solution set to the P-DAREs are obtained. The results are illustrated by numerical examples.
متن کاملPerturbation analysis of the discrete Riccati equation
The sensitivity of the discrete-time matrix Riccati equation relative to perturbations in its coefficients is studied. Both local and non-local perturbation bounds are obtained. In particular the conditioning of the equation is determined.
متن کاملContinuity of the Algebraic Riccati Equation for Stochastic Linear Systems
The algebraic Riccati equation plays the central role in the computation of the optimal control in the infinite time deterministic and stochastic linear regulator problem (Theorem 1). The problem of adaptive control of stochastic system combines the problems of identification and control of unknown system [3]. The most desirable solution of a stochastic adaptive control problem is to exhibit a ...
متن کاملBackward Perturbation Analysis of the Periodic Discrete-Time Algebraic Riccati Equation
Normwise backward errors and residual bounds for an approximate Hermitian positive semidefinite solution set to the periodic discrete-time algebraic Riccati equation are obtained. The results are illustrated by using simple numerical examples.
متن کاملPerturbation analysis and condition numbers of symmetric algebraic Riccati equations
This paper is devoted to the perturbation analysis of symmetric algebraic Riccati equations. Based on our perturbation analysis, the upper bounds for the normwise,mixed and componentwise condition numbers are presented. The results are demonstrated by our preliminary numerical experiments. © 2008 Elsevier Ltd. All rights reserved.
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: Journal of Inequalities and Applications
سال: 2013
ISSN: 1029-242X
DOI: 10.1186/1029-242x-2013-580