Monotonicity of algebraic Lyapunov iterations for optimal control of jump parameter linear systems

Zoran Gajic, Ricardo Losada

Research output: Contribution to journalArticlepeer-review

22 Scopus citations

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 languageEnglish (US)
Pages (from-to)175-181
Number of pages7
JournalSystems and Control Letters
Volume41
Issue number3
DOIs
StatePublished - 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

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