Journal ArticleDOI
On a Matrix Riccati Equation of Stochastic Control
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This article is published in Siam Journal on Control.The article was published on 1968-11-01. It has received 949 citations till now. The article focuses on the topics: Algebraic Riccati equation & Riccati equation.read more
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Linear Matrix Inequalities in System and Control Theory
TL;DR: In this paper, the authors present a brief history of LMIs in control theory and discuss some of the standard problems involved in LMIs, such as linear matrix inequalities, linear differential inequalities, and matrix problems with analytic solutions.
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Least squares stationary optimal control and the algebraic Riccati equation
TL;DR: In this paper, the optimal control of linear systems with respect to quadratic performance criteria over an infinite time interval is treated, and the integrand of the performance criterion is allowed to be fully quadratically in the control and the state without necessarily satisfying the definiteness conditions which are usually assumed in the standard regulator problem.
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A Schur method for solving algebraic Riccati equations
TL;DR: In this article, a new algorithm for solving algebraic Riccati equations (both continuous-time and discrete-time versions) is presented, which is a variant of the classical eigenvector approach and uses instead an appropriate set of Schur vectors.
Journal ArticleDOI
Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework
Xun Yu Zhou,Duan Li +1 more
TL;DR: In this article, a continuous-time mean-variance portfolio selection problem is formulated as a bicriteria optimization problem, where the objective is to maximize the expected terminal return and minimize the variance of the terminal wealth.
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Controllability, stabilizability, and continuous-time Markovian jump linear quadratic control
Y. Ji,Howard J. Chizeck +1 more
TL;DR: In this paper, necessary and sufficient conditions for the existence of finite cost, constant, stabilizing controls for the infinite-time Markovian jump linear quadratic (JLQ) problem are established.