IEEE Transactions on Automatic Control, Vol.44, No.3, 556-560, 1999
Coupled matrix Riccati equations in minimal cost variance control problems
We present an algorithm fur the solution of a nontrivial coupled system of algebraic Riccati equations appearing in risk sensitive control problems. Moreover, me use comparison methods to derive non-blowup conditions far the solutions of a corresponding terminal value problem for coupled systems of Riccati differential equations.