Abstract
We analyze the solution of the system of coupled algebraic Riccati equations of the optimal control problem of jump linear system. We prove that the Lyapunov iterations converge to a positive semidefinite stabilizing solution under mild conditions.
This work was partially supported by the Sofia University under the research project 12/2006.
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References
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Ivanov, I.G. (2007). Properties of the Lyapunov Iteration for Coupled Riccati Equations in Jump Linear Systems. In: Boyanov, T., Dimova, S., Georgiev, K., Nikolov, G. (eds) Numerical Methods and Applications. NMA 2006. Lecture Notes in Computer Science, vol 4310. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-70942-8_72
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DOI: https://doi.org/10.1007/978-3-540-70942-8_72
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-70940-4
Online ISBN: 978-3-540-70942-8
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