Continuity of the solution of the Riccati equations for continuous time JLQP
Copyright policy )Continuity of the solution of the Riccati equations for continuous time JLQP
Here, it is proved that if the Markovian, jump linear quadratic control problem is observable and stochasticly stabilizable, the solution to differential and algebraic Riccati equations for a continuous time is continuous as a function of the coefficients. This result is important for applications to problems of adaptive control of stochastic systems and may be also useful for the analysis of sensitivity and robustness of linear systems with jumps and for the developing of efficient numerical algorithms.
Controllability, stochastic stabilizability, observability, robustness, Nonlinear ordinary differential equations and systems, sensitivity, coupled algebraic Riccati equations, jump parameter system, Sensitivity (robustness), Control/observation systems in abstract spaces, quadratic control, Linear boundary value problems for ordinary differential equations with nonlinear dependence on the spectral parameter, Control problems involving ordinary differential equations
Controllability, stochastic stabilizability, observability, robustness, Nonlinear ordinary differential equations and systems, sensitivity, coupled algebraic Riccati equations, jump parameter system, Sensitivity (robustness), Control/observation systems in abstract spaces, quadratic control, Linear boundary value problems for ordinary differential equations with nonlinear dependence on the spectral parameter, Control problems involving ordinary differential equations
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