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摘要: 研究一类广义代数Riccati方程,该方程在随机控制领域有重要的应用,因而被许多 学者所研究.通过引进能稳性的概念,给出了该方程有唯一正解的一个充分必要条件,所得结 果不仅改进了以往的结论,也推广了确定性代数Riccati方程的相应性质.
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关键词:
- 代数Riccati方程 /
- 能稳性 /
- Wiener过程 /
- 能观性
Abstract: We study a kind of generalized algebraic Riccati equation. This equation has many applications in the field of stochastic control, so it has been studied by many authors. By introducing the concept of stabilizability, a sufficient and necessary condition for this equation to have a unique positive solution is given, which not only improves the previous results ,but also generalizes the corresponding property of deterministic algebraic Riccati equation.-
Key words:
- Algebraic Riccati equation /
- stabilizability /
- Wiener process /
- observability
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