A priori bound for optimal stochastic control problem with multiplicative noise
- 17 February 1983
- journal article
- Published by Institution of Engineering and Technology (IET) in Electronics Letters
- Vol. 19 (4) , 137-139
- https://doi.org/10.1049/el:19830097
Abstract
An easy-to-evaluate lower bound on the spectral norm of the solution to a nonlinear matrix equation arising in control of linear systems with state and control dependent noise is found. The result enables one to speculate as to the magnitude of the solution matrix.Keywords
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