Algebraic matrix Riccati equations are considered which arise in the optimal filtering as well as in control problems of continuous time-invariant systems. A necessary and sufficient condition is established for the existence of unique positivedefinite solutions and the asymptotically stable closed-
Global Existence and Stability of Solutions of Matrix Riccati Equations
β Scribed by Jonq Juang
- Publisher
- Elsevier Science
- Year
- 2001
- Tongue
- English
- Weight
- 97 KB
- Volume
- 258
- Category
- Article
- ISSN
- 0022-247X
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β¦ Synopsis
We consider a matrix Riccati equation containing two parameters c and β£. The quantity c denotes the average total number of particles emerging from a collision, Ε½ . Ε½ . which is assumed to be conservative i.e., 0c F 1 , and β£ 0 F β£ -1 is an ΓΕ½ . 4 angular shift. Let S s c, β£ : 0c F 1 and 0 F β£ -1 . Stability analysis for two steady-state solutions X and X are provided. In particular, we prove that min max ΓΕ½ .4 X is locally asymptotically stable for S y 1, 0 , while X is unstable for min max ΓΕ½ .4 S y 1, 0 . For c s 1 and β£ s 0, X s X is neutral stable. We also show min max Ε½ . that such equations have a global positive solution for c, β£ g S, provided that the initial value is small and positive.
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