General Lyapunov-Based Iterative Algorithm for Linear Quadratic Regulator Problem of Stochastic Systems with Markovian Jump
Keyword(s):
This paper investigates the linear quadratic regulator(LQR) problem of linear stochastic systems with Markovian jump. Firstly, two iterative algorithms are proposed for solving the corresponding coupled algebraic Riccati equa- tions (CAREs) based on the general-type Lyapunov equation derived from linear stochastic systems. It is verified that the second algorithm adding an adjustable factor converges faster than the first one without it. Secondly, a monotonic convergence theorem is established for the proposed iterative algorithms under certain initial conditions. In the end, a numerical example is given to verify the efficiency of the proposed algorithms.
2021 ◽
Keyword(s):
2004 ◽
Vol 49
(5)
◽
pp. 665-675
◽
2019 ◽
Vol 5
(4)
◽
2010 ◽
Vol 20
(4)
◽
pp. 655-664
◽
2021 ◽