Computation of the stabilizing solution of game theoretic Riccati equation arising in stochastic H ∞ control problems
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s11075-010-9432-7.pdf
Reference26 articles.
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3. Damm, T.: Rational matrix equations in stochastic control. In: Lecture Notes in Control and Information sciences. Springer (2004)
4. do Val, J., Geromel, J., Costa, O.: Uncoupled Riccati iterations for the linear quadratic control problem of discrete-time Markov jump linear systems. IEEE Trans. Automat. Contr. 43(12), 1727–1733 (1998)
5. Doyle, J., Glover, K., Khargonekaar, P., Francis, B.: State space solution to standard H 2 and H ∞ control problems. IEEE Trans. Automat. Contr. 34(8), 831–847 (1989)
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