Numerical Solution of the State Dependent Noise Problem

Authors

David L. Kleinman

Year

1976

Journal Paper

Algorithm

State-Dependent Noise Riccati Solver

Source

IEEE Transactions on Automatic Control

Identifiers

DOI 10.1109/TAC.1976.1101248

Abstract¶

A numerical technique is given for solving the matrix quadratic equation that arises in the optimal stationary control of linear systems with state (and/or control) dependent noise. The technique exploits fully existing, efficient algorithms for the matrix Lyapunov and Ricatti equations. The computational requirements are discussed, with an associated example.

Summary¶

Kleinman gives a numerical technique for the matrix quadratic equation arising in optimal stationary control with state- or control-dependent noise. The method leverages efficient Lyapunov and Riccati solvers, making multiplicative-noise regulator computations more practical.