ON COERCIVITY AND THE FREQUENCY DOMAIN CONDITION IN INDEFINITE LQ-CONTROL
We introduce a coercivity condition as a time domain analogue of the frequency criterion provided by the famous Kalman-YakubovichPopov lemma. For a simple stochastic linear quadratic control problem we show how the coercivity condition characterizes the solvability of Riccati equations.
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| Published in | Annals. Series on mathematics and its applications Vol. 12; no. 1-2; pp. 553 - 563 |
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| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
2020
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| Online Access | Get full text |
| ISSN | 2066-5997 2066-6594 |
| DOI | 10.56082/annalsarscimath.2020.1-2.553 |
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| Summary: | We introduce a coercivity condition as a time domain analogue of the frequency criterion provided by the famous Kalman-YakubovichPopov lemma. For a simple stochastic linear quadratic control problem we show how the coercivity condition characterizes the solvability of Riccati equations. |
|---|---|
| ISSN: | 2066-5997 2066-6594 |
| DOI: | 10.56082/annalsarscimath.2020.1-2.553 |