2018•Asian Journal of ControlRequires access

Existence of Solution for Generalized Coupled Differential Riccati Equation

Guoqiang Ren, Bin Liu

Abstract

Abstract By means of the recursive method, the existence of solution is obtained for the generalized coupled differential Riccati equation. As an application, we apply the existence results to consider the optimal control of Markovian jump linear singular system, and obtain the desired explicit representation of the optimal controller for the optimal control problem with the finite horizon.

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Key concepts: Riccati equation, Algebraic Riccati equation, Mathematics, Optimal control, Linear-quadratic regulator, Differential equation, Representation (politics), Differential (mechanical device)