| 朱经浩,陶世明.一类线性随机H∞控制问题的Riccati矩阵微分方程[J].数学年刊A辑,2009,30(1):131~138 |
| 一类线性随机H∞控制问题的Riccati矩阵微分方程 |
| An Iterative Process for Solving Riccati Matrix Differential Equation on Linear Stochastic H∞ Control Problem |
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| DOI： |
| 中文关键词: 随机H∞控制 Riccati矩阵微分方程 迭代法 |
| 英文关键词:Stochastic H
∞
control, Riccati differential equation, Iterative
method |
| 基金项目:国家自然科学基金 |
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| 中文摘要: |
| 讨论了一类线性随机H∞控制问题的解的存在性和相关的Riccati矩阵微分方程的迭代解法.建立了一个算法,利用李雅普诺夫线性矩阵微分方程的解,一致逼近Riccati矩阵微分方程的解. |
| 英文摘要: |
| This paper discusses the existence of solutions of linear stochastic control problems
and the iterative method for solving the relative Riccati differential equation. The
authors establish an algorithm to compute the nonnegative solution of the Riccati differential
equation by a series of Lyapunov linear differential equations. |
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