An analytic solution for an algebraic matrix Riccati equation

1 June 1974

journal article
Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control

Vol. 19 (3) , 255-256
https://doi.org/10.1109/tac.1974.1100564

Abstract

A procedure is given whereby an analytic solution may sometimes be found for a matrix algebraic equation, such as occurs in deterministic and stochastic optimization problems.

Keywords

RICCATI EQUATIONS
SYMMETRIC MATRICES
STOCHASTIC PROCESSES
COST FUNCTION
FEEDBACK
TIME INVARIANT SYSTEMS
MILLING MACHINES

This publication has 2 references indexed in Scilit:

A nonrecursive algebraic solution for the discrete smoothed error covariance matrix
IEEE Transactions on Automatic Control, 1973
A nonrecursive algebraic solution for the discrete Riccati equation
IEEE Transactions on Automatic Control, 1970