On the Solutions of the Matrix Equations in Optimal Stochastic Control  

作　　者：Deng, Feiqi  Hu, Gang  Liu, Yongqing  Feng, Zhaoshu 

机构地区：[1] South China Univ of Technology, Guangzhou, China

出　　处：《Journal of Systems Engineering and Electronics》1999年第3期38-43,共6页系统工程与电子技术（英文版）

摘　　要：In this paper, the matrix algebraic equations involved in the optimal control problem of time-invariant linear Ito stochastic systems, named Riccati- Ito equations in the paper, are investigated. The necessary and sufficient condition for the existence of positive definite solutions of the Riccati- Ito equations is obtained and an iterative solution to the Riccati- Ito equations is also given in the paper thus a complete solution to the basic problem of optimal control of time-invariant linear Ito stochastic systems is then obtained. An example is given at the end of the paper to illustrate the application of the result of the paper.In this paper, the matrix algebraic equations involved in the optimal control problem of time-invariant linear Ito stochastic systems, named Riccati- Ito equations in the paper, are investigated. The necessary and sufficient condition for the existence of positive definite solutions of the Riccati- Ito equations is obtained and an iterative solution to the Riccati- Ito equations is also given in the paper thus a complete solution to the basic problem of optimal control of time-invariant linear Ito stochastic systems is then obtained. An example is given at the end of the paper to illustrate the application of the result of the paper.

关 键 词：Computational methods Control system analysis Control system synthesis Iterative methods Linear control systems Matrix algebra Optimal control systems Riccati equations 

分 类 号：TP13[自动化与计算机技术—控制理论与控制工程]