Continuity of Solutions of Riccati Equations for the Discrete–time Jlqp
نویسندگان
چکیده
The continuity of various types of Riccati equations has been considered in various contexts in the last decade. In (Czornik, 1996; 2000; Delchamps, 1980; Faibusovich, 1986; Lancaster and Rodman, 1995; Rodman, 1980), the authors examine the continuity of continuous-time algebraic Riccati equations under different conditions. Czornik and Sragovich (1995) consider the situation when the coefficients of a continuous-time algebraic Riccati equation tend to coefficients for which the solution does not exist. The continuity of discrete algebraic equations is shown in (Chen, 1985). In (Chojnowska-Michalik et al., 1992) the continuity in the uniform operator topology of the solution of the Riccati equations in Hilbert space is verified. In the discrete-time Markovian jump linear quadratic control problem on a finite time interval the following set of coupled Riccati difference equations appears (Chizeck et al., 1986):
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