A mixed sensitivity H∞ problem is solved for dead-time systems. It is shown that for a given bound on the H∞-norm there exist causal stabilizing controllers that achieve this bound if and only if a related finite-dimensional Riccati equation has a solution with a certain nonsingularity property. In the case of zero time-delay the Riccati equation is a standard Riccati equation and the nonsingul...

The algebraic regulator and filter Riccati equations of weakly coupled dticrere-rime stochastic linear control systems are completely and exactly decomposed into reduced-order continuous-time algebraic Riccati equations corresponding to the subsystems. That is, the exact solution of the global discrete algebraic Riccati equation is found in terms of the reduced-order subsystem nonsymmetric cont...

For the nonsymmetric algebraic Riccati equation for which the four coefficient matrices form an M -matrix, the solution of practical interest is often the minimal nonnegative solution. In this note we prove that the minimal nonnegative solution is positive when the M -matrix is irreducible.

This paper treats a set of equations of the form X + AF(X)A = Q, where F maps positive definite matrices either into positive definite matrices or into negative definite matrices, and satisfies some monotonicity property. Here A is arbitrary and Q is a positive definite matrix. It is shown that under some conditions an iteration method converges to a positive definite solution. An estimate for ...

In this paper, we consider a robust stability problem for continuous time stochastic uncertain systems. The uncertainty in the system is characterized in terms of an uncertain probability distribution on the noise input. This uncertainty is assumed to satisfy a certain relative entropy constraint. The solution to a specially parametrized risk-sensitive performance analysis problem is used to es...

A mixed sensitivity problem is solved for dead-time systems. It is shown that for a given bound on the -norm causal stabilizing controllers exist that achieve this bound if and only if a related finite-dimensional Riccati equation has a solution with a certain nonsingularity property. In the case of zero time delay, the Riccati equation is a standard Riccati equation and the nonsingularity cond...

Numerical state-dependent Riccati equation based integrated guidance-control formulation is developed for an internally actuated missile. The dynamic system under consideration is of tenth order, making it tedious to algebraically manipulate the equations of motion into the state-dependent coefficient form central to the design methodology. A numerical approach based on previous research is dev...

In this paper we present a Nash equilibrium problem of linear quadratic zero-sum dynamic games for descriptor system. We assume that the players give a linear feedback to the game. For the game with finite planning horizon we derive a differential Riccati type equation. For the game with infinite planning horizon we consider an algebraic Riccati type equation. The connection of the game solutio...

We give a formula for the Lipschitz constant in Thompson’s part metric of any order-preserving flow on the interior of a (possibly infinite dimensional) closed convex pointed cone. This provides an explicit form of a characterization of Nussbaum concerning non order-preserving flows. As an application of this formula, we show that the flow of the generalized Riccati equation arising in stochast...

This paper is concerned with mean-variance portfolio selection problems in continuoustime under the constraint that short-selling of stocks is prohibited. The problem is formulated as a stochastic optimal linear-quadratic (LQ) control problem. However, this LQ problem is not a conventional one in that the control (portfolio) is constrained to take nonnegative values due to the no-shorting restr...