757 research outputs found
Necessary and sufficient conditions for the existence of a positive definite solution of the matrix equation X+AtX-1=I
Matrices;numerieke wiskunde
General Linear Quadratic Optimal Stochastic Control Problem Driven by a Brownian Motion and a Poisson Random Martingale Measure with Random Coefficients
The main purpose of this paper is to discuss detailed the stochastic LQ
control problem with random coefficients where the linear system is a
multidimensional stochastic differential equation driven by a multidimensional
Brownian motion and a Poisson random martingale measure. In the paper, we will
establish the connections of the multidimensional Backward stochastic Riccati
equation with jumps (BSRDEJ in short form) to the stochastic LQ problem and to
the associated Hamilton systems. By the connections, we show the optimal
control have the state feedback representation. Moreover, we will show the
existence and uniqueness result of the multidimensional BSRDEJ for the case
where the generator is bounded linear dependence with respect to the unknowns
martingale term
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L-2 State Estimation With Guaranteed Convergence Speed in the Presence of Sporadic Measurements
This paper deals with the problem of estimating the state of a nonlinear time-invariant system in the presence of sporadically available measurements and external perturbations. An observer with a continuous intersample injection term is proposed. Such an intersample injection is provided by a linear dynamical system, whose state is reset to the measured output estimation error whenever a new measurement is available. The resulting system is augmented with a timer triggering the arrival of a new measurement and analyzed in a hybrid system framework. The design of the observer is performed to achieve exponential convergence with a given decay rate of the estimation error. Robustness with respect to external perturbations and L2-external stability from plant perturbations to a given performance output are considered. Computationally efficient algorithms based on the solution to linear matrix inequalities are proposed to design the observer. Finally, the effectiveness of the proposed methodology is shown in an example
LQ-control of sampled continuous-time systems
Control Systems;controle-systemen
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