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Coupled matrix Riccati equations in minimal cost variance control problems

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3 Author(s)
Freiling, G. ; Duisburg Univ., Germany ; Lee, S.-R. ; Jank, G.

We present an algorithm for the solution of a nontrivial coupled system of algebraic Riccati equations appearing in risk sensitive control problems. Moreover, we use comparison methods to derive non-blowup conditions for the solutions of a corresponding terminal value problem for coupled systems of Riccati differential equations

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Automatic Control, IEEE Transactions on  (Volume:44 ,  Issue: 3 )