Correction to "The linear quadratic optimization problems for a class of linear stochastic systems with multiplicative white noise and Markovian jumping"

2004 ◽  
Vol 49 (10) ◽  
pp. 1883
Author(s):  
V. Dragan ◽  
T. Morozan
Keyword(s):  
White Noise ◽  
Stochastic Systems ◽  
Optimization Problems ◽  
Quadratic Optimization ◽  
Linear Quadratic ◽  
Markovian Jumping ◽  
Linear Stochastic Systems ◽  
Multiplicative White Noise

scholarly journals The LMI Approach for Stabilizing of Linear Stochastic Systems

2013 ◽  
Vol 2013 ◽  
pp. 1-5 ◽  
Author(s):  
Ivan Ivanov
Keyword(s):  
White Noise ◽  
Equilibrium Point ◽  
Discrete Time ◽  
Symmetric Solution ◽  
Numerical Experiments ◽  
Stochastic Systems ◽  
Lmi Approach ◽  
Linear Stochastic Systems ◽  
Multiplicative White Noise ◽  
Stochastic Linear Systems

Stochastic linear systems subjected both to Markov jumps and to multiplicative white noise are considered. In order to stabilize such type of stochastic systems, the so-called set of generalized discrete-time algebraic Riccati equations has to be solved. The LMI approach for computing the stabilizing symmetric solution (which is in fact the equilibrium point) of this system is studied. We construct a new modification of the standard LMI approach, and we show how to apply the new modification. Computer realizations of all modifications are compared. Numerical experiments are given where the LMI modifications are numerically compared. Based on the experiments the main conclusion is that the new LMI modification is faster than the standard LMI approach.

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