difference riccati equation
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2019 ◽  
Vol 39 (1) ◽  
pp. 139-147
Author(s):  
Zongxuan Chen ◽  
Kwang Ho Shon






2015 ◽  
Vol 2015 ◽  
pp. 1-11
Author(s):  
Xikui Liu ◽  
Guiling Li ◽  
Yan Li

The Karush-Kuhn-Tucker (KKT) theorem is used to study stochastic linear quadratic optimal control with terminal constraint for discrete-time systems, allowing the control weighting matrices in the cost to be indefinite. A generalized difference Riccati equation is derived, which is different from those without constraint case. It is proved that the well-posedness and the attainability of stochastic linear quadratic optimal control problem are equivalent. Moreover, an optimal control can be denoted by the solution of the generalized difference Riccati equation.







2013 ◽  
Vol 17 (4) ◽  
pp. 1413-1423 ◽  
Author(s):  
Ye-Yang Jiang ◽  
Zong-Xuan Chen


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