Linearization of a Matrix Riccati Equation Associated to an Optimal Control Problem
Academic Editor: Ahmed El-Sayed
Abstract
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.
