Solvability of Stochastic Discrete Algebraic Riccati Equation

This paper considers a stochastic discrete algebraic Riccati equation, which is a generalized version of the well-known standard discrete algebraic Riccati equation, and has additional linear terms. Under controllability, detectability and the assumption that the additional terms are not too large,...

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Veröffentlicht in:Keisoku Jidō Seigyo Gakkai ronbunshū 2002/02/28, Vol.38(2), pp.227-229
Hauptverfasser: TANG, Yibing, KONO, Michio, SUZUKI, Tatsuo
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Sprache:eng
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Zusammenfassung:This paper considers a stochastic discrete algebraic Riccati equation, which is a generalized version of the well-known standard discrete algebraic Riccati equation, and has additional linear terms. Under controllability, detectability and the assumption that the additional terms are not too large, the existence of a positive semi-definite solution is guaranteed.
ISSN:0453-4654
1883-8189
DOI:10.9746/sicetr1965.38.227