论文部分内容阅读
In this paperl the matrix algebraic equations involved in the optimal control problem of time-invariant linear Ito stochastic systems, named Riccati- Ito equations in the paper, are investigated. The necessary and sufficient condition for the existence of positive definite solutions of theRiccati- Ito equations is obtained and an iterative solution to the Riccati- Ito equations is also givenin the paper thus a complete solution to the basic problem of optimal control of time-invariant linearIto stochastic systems is then obtained. An example is given at the end of the paper to illustratethe application of the result of the paper.
In this paperl the matrix algebraic equations involved in the optimal control problem of time-invariant linear Ito stochastic systems, named Riccati-Ito equations in the paper, are investigated. The necessary and sufficient conditions for the existence of positive definite solutions of the Riccati- Ito equations is obtained and an iterative solution to the Riccati-Ito equations is also givenin the paper thus a complete solution to the basic problem of optimal control of time-invariant linear Ito stochastic systems is then obtained. An example is given at the end of the paper to illustrate the application of the result of the paper.