Coupled matrix Riccati equations in minimal cost variance control problems

1999 ◽  
Vol 44 (3) ◽  
pp. 556-560 ◽  
Author(s):  
G. Freiling ◽  
S.-R. Lee ◽  
G. Jank
Keyword(s):  
Riccati Equations ◽  
Control Problems ◽  
Minimal Cost ◽  
Cost Variance

scholarly journals Existence of Solutions of a Riccati Differential System from a General Cumulant Control Problem

2011 ◽  
Vol 2011 ◽  
pp. 1-13
Author(s):  
Stanley R. Liberty ◽  
Libin Mou
Keyword(s):  
Control Problem ◽  
Differential System ◽  
Existence Of Solutions ◽  
Riccati Equations ◽  
Minimal Cost ◽  
Cost Variance ◽  
Risk Sensitive ◽  
Existence Conditions

We study a system of infinitely many Riccati equations that arise from a cumulant control problem, which is a generalization of regulator problems, risk-sensitive controls, minimal cost variance controls, and k-cumulant controls. We obtain estimates for the existence intervals of solutions of the system. In particular, new existence conditions are derived for solutions on the horizon of the cumulant control problem.

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