Numerical solution of the state dependent noise problem¶
Authors: D. Kleinman
Published: 1976 (Journal Paper)
Source: IEEE Transactions on Automatic Control
Algorithm: State-Dependent Noise Control
DOI: 10.1109/TAC.1976.1101248
Summary¶
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.