General Algebraic and Differential Riccati Equations from Stochastic LQR Problems with Infinite Horizon
نویسنده
چکیده
This is a continuation of the paper [12]. We consider general matrix Riccati equations, including those from stochastic linear regulator problems with infinite horizon. For differential Riccati equations, we prove a monotonicity of solutions, which leads to a necessary and sufficient condition for the existence of solutions to algebraic Riccati equations. For solutions to the algebraic Riccati equations, we obtain results on their comparison, uniqueness, stabilizability and approximation.
منابع مشابه
General Algebraic and Differential Riccati Equations from Stochastic LQR Problem
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