Iterative algorithms with the latest update for Riccati matrix equations in Ito Markov jump systems

作     者：MA Chuang LI Zhi WU WanQi ZHANG Ying MA Chuang;LI Zhi;WU WanQi;ZHANG Ying

作者机构：School of Mechanical Engineering and AutomationHarbin Institute of TechnologyShenzhen 518055China 

出 版 物：《Science China(Technological Sciences)》 (中国科学（技术科学英文版）)

年 卷 期：2020年第63卷第8期

页      面：1577-1584页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 070102[理学-计算数学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：supported by the Shenzhen Municipal Basic Research Project for Discipline Layout(Grant No.JCYJ20170811160715620) the National Natural Science Foundation of China for Excellent Young Scholars(Grant No.61822305) the Shenzhen Municipal Project for International Cooperation(Grant No.GJHZ20180420180849805) the Guangdong Natural Science Foundation(Grant No.2017A030313340) 

主　　题：Ito Markov jump systems coupled Riccati matrix equations iterative algorithms 

摘      要：This study is concerned with the problem to solve the continuous coupled Riccati matrix equations in It?Markov jump systems.A new iterative algorithm is developed by using the latest estimation information and introducing a tuning *** iterative solution obtained by the proposed algorithm with zero initial conditions converges to the unique positive definite solution of the considered *** convergence rate of the algorithm is dependent on the adjustable ***,a numerical example is provided to show the effectiveness of the presented algorithms.