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Linearization of a matrix riccati equation associated to an optimal control problem

Foued Zitouni and Mario Lefebvre

Article (2014)

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Cite this document: Zitouni, F. & Lefebvre, M. (2014). Linearization of a matrix riccati equation associated to an optimal control problem. International Journal of Differential Equations, 2014. doi:10.1155/2014/741390
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The matrix Riccati equation that must be solved to obtain the solution to stochastic optimal control problems known as LQG homing is linearized for a class of processes. The results generalize a theorem proved by Whittle and the one-dimensional case already considered by the authors. A particular two-dimensional problem is solved explicitly.

Open Access document in PolyPublie
Subjects: 2950 Mathématiques appliquées > 2950 Mathématiques appliquées
3000 Statistique et probabilité > 3007 Processus stochastiques
Department: Département de mathématiques et de génie industriel
Research Center: Non applicable
Date Deposited: 04 Feb 2019 10:16
Last Modified: 08 Apr 2021 10:43
PolyPublie URL: https://publications.polymtl.ca/3632/
Document issued by the official publisher
Journal Title: International Journal of Differential Equations (vol. 2014)
Publisher: Hindawi
Official URL: https://doi.org/10.1155/2014/741390


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