Premium
Existence of Solution for Generalized Coupled Differential Riccati Equation
Author(s) -
Ren Guoqiang,
Liu Bin
Publication year - 2019
Publication title -
asian journal of control
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.769
H-Index - 53
eISSN - 1934-6093
pISSN - 1561-8625
DOI - 10.1002/asjc.1835
Subject(s) - riccati equation , algebraic riccati equation , mathematics , optimal control , linear quadratic regulator , representation (politics) , differential equation , control theory (sociology) , differential (mechanical device) , controller (irrigation) , jump , control (management) , mathematical analysis , mathematical optimization , computer science , physics , artificial intelligence , agronomy , engineering , quantum mechanics , aerospace engineering , politics , political science , law , biology
By means of the recursive method, the existence of solution is obtained for the generalized coupled differential Riccati equation. As an application, we apply the existence results to consider the optimal control of Markovian jump linear singular system, and obtain the desired explicit representation of the optimal controller for the optimal control problem with the finite horizon.