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The asymptotic analysis method is applied to the infinite horizon discrete-time indefinite stochastic LQ problem. This paper carries out the research on the basis of the results of its finite horizon counterpart and the mean-square stabilizing assumption.Properties of the solutions to the generalized algebraic Riccati equation(GARE)are also considered.Finally,two examples are provided to justify the developed theory.
The asymptotic analysis method is applied to the infinite horizon discrete-time indefinite stochastic LQ problem. This paper carries the research on the basis of the results of its finite horizon counterpart and the mean-square stabilization scenario. Properties of the solutions to the generalized algebraic Riccati equation (GARE) are also considered .Finally, two examples are provided to justify the developed theory.