Lyapunov Iterations for Optimal Control of Jump Linear Systems at Steady State

Z. Gajic; I. Borno

doi:10.1109/9.471227

Lyapunov Iterations for Optimal Control of Jump Linear Systems at Steady State

Z. Gajic
, I. Borno

Research output: Contribution to journal › Article › peer-review

76 Scopus citations

Abstract

In this paper we construct a sequence of Lyapunov algebraic equations whose solutions converge to the solutions of the coupled algebraic Riccati equations of the optimal control problem for jump linear systems. The obtained solutions are positive semidefinite, stabilizing, and unique. The proposed algorithm is extremely efficient from the numerical point of view since it operates only on the reduced-order decoupled Lyapunov equations. Several examples are included to demonstrate the procedure.

Original language	English (US)
Pages (from-to)	1971-1975
Number of pages	5
Journal	IEEE Transactions on Automatic Control
Volume	40
Issue number	11
DOIs	https://doi.org/10.1109/9.471227
State	Published - Nov 1995

All Science Journal Classification (ASJC) codes

Control and Systems Engineering
Computer Science Applications
Electrical and Electronic Engineering

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10.1109/9.471227

Cite this

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title = "Lyapunov Iterations for Optimal Control of Jump Linear Systems at Steady State",

abstract = "In this paper we construct a sequence of Lyapunov algebraic equations whose solutions converge to the solutions of the coupled algebraic Riccati equations of the optimal control problem for jump linear systems. The obtained solutions are positive semidefinite, stabilizing, and unique. The proposed algorithm is extremely efficient from the numerical point of view since it operates only on the reduced-order decoupled Lyapunov equations. Several examples are included to demonstrate the procedure.",

author = "Z. Gajic and I. Borno",

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N2 - In this paper we construct a sequence of Lyapunov algebraic equations whose solutions converge to the solutions of the coupled algebraic Riccati equations of the optimal control problem for jump linear systems. The obtained solutions are positive semidefinite, stabilizing, and unique. The proposed algorithm is extremely efficient from the numerical point of view since it operates only on the reduced-order decoupled Lyapunov equations. Several examples are included to demonstrate the procedure.

AB - In this paper we construct a sequence of Lyapunov algebraic equations whose solutions converge to the solutions of the coupled algebraic Riccati equations of the optimal control problem for jump linear systems. The obtained solutions are positive semidefinite, stabilizing, and unique. The proposed algorithm is extremely efficient from the numerical point of view since it operates only on the reduced-order decoupled Lyapunov equations. Several examples are included to demonstrate the procedure.

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DO - 10.1109/9.471227

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AN - SCOPUS:0029406643

SN - 0018-9286

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SP - 1971

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JO - IEEE Transactions on Automatic Control

JF - IEEE Transactions on Automatic Control

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Lyapunov Iterations for Optimal Control of Jump Linear Systems at Steady State

Abstract

All Science Journal Classification (ASJC) codes

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