Infinite-time minimal cost variance control and coupled algebraic Riccati equations

2004 ◽  
Author(s):  
Chang-Hee Won ◽  
M.K. Sain ◽  
S.R. Liberty
Keyword(s):  
Riccati Equations ◽  
Minimal Cost ◽  
Infinite Time ◽  
Algebraic Riccati Equations ◽  
Cost Variance ◽  
Coupled Algebraic Riccati Equations

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.

Sign in / Sign up

Export Citation Format

Share Document