Abstract
In this paper we show that the sequences of the solutions of the decoupled algebraic Lyapunov equations are monotonic under proper initialization. These sequences converge from above to the positive-semidefinite stabilizing solutions of the system of coupled algebraic Riccati equations of the optimal control problem of jump parameter linear systems.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 175-181 |
| Number of pages | 7 |
| Journal | Systems and Control Letters |
| Volume | 41 |
| Issue number | 3 |
| DOIs | |
| State | Published - Oct 26 2000 |
All Science Journal Classification (ASJC) codes
- Control and Systems Engineering
- General Computer Science
- Mechanical Engineering
- Electrical and Electronic Engineering
Keywords
- Coupled algebraic riccati equations
- Lyapunov equation
- Parallel computation
- Stochastic control
- Stochastic jump processes