1982
DOI: 10.1080/00207178208932895
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On a quadratic matrix inequality and the corresponding algebraic Riccati equation†

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Cited by 12 publications
(2 citation statements)
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“…We can express the Bellman inequalities (8) as for all z ∈ R n , where we define This is equivalent to the condition, for t = 0, …, N −1, which can be written as Each of the terms , , , , , in the block matrix inequalities are linear functions of the variables Q t , q t , s t , P t , p t , c t , S t , R t , and r t . Thus, inequalities (11) are linear matrix inequalities (LMIs) 40–46. In particular, the set of matrices Q t , q t , s t , P t , p t , c t , S t , R t , and r t that satisfy (11) is convex.…”
Section: Finite Horizonmentioning
confidence: 99%
“…We can express the Bellman inequalities (8) as for all z ∈ R n , where we define This is equivalent to the condition, for t = 0, …, N −1, which can be written as Each of the terms , , , , , in the block matrix inequalities are linear functions of the variables Q t , q t , s t , P t , p t , c t , S t , R t , and r t . Thus, inequalities (11) are linear matrix inequalities (LMIs) 40–46. In particular, the set of matrices Q t , q t , s t , P t , p t , c t , S t , R t , and r t that satisfy (11) is convex.…”
Section: Finite Horizonmentioning
confidence: 99%
“…with variable P. The optimal point is P = P , and the optimal value of this problem is J [8,1,20,3,7,29]. For future use we make some important comments about this problem.…”
Section: Linear Quadratic Controlmentioning
confidence: 99%