Perturbation analysis of the stochastic algebraic Riccati equation

Chun Yueh Chiang, Hung Yuan Fan, Matthew M. Lin, Hsin An Chen

研究成果: 雜誌貢獻文章同行評審

3 引文 斯高帕斯(Scopus)

摘要

In this paper we study a general class of stochastic algebraic Riccati equations (SARE) arising from the indefinite linear quadratic control and stochastic H problems. Using the Brouwer fixed point theorem, we provide sufficient conditions for the existence of a stabilizing solution of the perturbed SARE. We obtain a theoretical perturbation bound for measuring accurately the relative error in the exact solution of the SARE. Moreover, we slightly modify the condition theory developed by Rice and provide explicit expressions of the condition number with respect to the stabilizing solution of the SARE. A numerical example is applied to illustrate the sharpness of the perturbation bound and its correspondence with the condition number.

原文英語
文章編號580
期刊Journal of Inequalities and Applications
2013
發行號1
DOIs
出版狀態已發佈 - 2013

ASJC Scopus subject areas

  • Analysis
  • Discrete Mathematics and Combinatorics
  • Applied Mathematics

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