Existence of a Mean-Square Stabilizing Solution to a Modified Algebraic Riccati Equation

• Main Authors: Zheng, Jianying, Qiu, Li
• Other Authors: School of Electrical and Electronic Engineering
• Format: Article
• Language: English
• Published: 2018
• Subjects: Modified Algebraic Riccati Equation; Cone-invariant Operators
• Online Access: https://hdl.handle.net/10356/88631; http://hdl.handle.net/10220/44672
• Institution: Nanyang Technological University

In this paper, the existence of a mean-square stabilizing solution to a discrete-time modified algebraic Riccati equation (MARE), which arises in the study of some stochastic linear quadratic optimal control problems, is investigated. The theory of cone-invariant operators is employed as the mathema...