Iterative algorithms with the latest update for Riccati matrix equations in Ito Markov jump systems  

作　　者：MA Chuang LI Zhi WU WanQi ZHANG Ying 

机构地区：[1]School of Mechanical Engineering and Automation,Harbin Institute of Technology,Shenzhen 518055,China

出　　处：《Science China(Technological Sciences)》2020年第8期1577-1584,共8页中国科学（技术科学英文版）

基　　金：supported by the Shenzhen Municipal Basic Research Project for Discipline Layout(Grant No.JCYJ20170811160715620);the National Natural Science Foundation of China for Excellent Young Scholars(Grant No.61822305);the Shenzhen Municipal Project for International Cooperation(Grant No.GJHZ20180420180849805);the Guangdong Natural Science Foundation(Grant No.2017A030313340)。

摘　　要：This study is concerned with the problem to solve the continuous coupled Riccati matrix equations in It?Markov jump systems.A new iterative algorithm is developed by using the latest estimation information and introducing a tuning parameter.The iterative solution obtained by the proposed algorithm with zero initial conditions converges to the unique positive definite solution of the considered equations.The convergence rate of the algorithm is dependent on the adjustable parameter.Furthermore,a numerical example is provided to show the effectiveness of the presented algorithms.

关 键 词：Ito Markov jump systems coupled Riccati matrix equations iterative algorithms 

分 类 号：O241.6[理学—计算数学] O211.62[理学—数学]