Coupled matrix Riccati equations in minimal cost variance control problems
Gerhard Freiling, S.-R. Lee, Gerhard Jank · IEEE Transactions on Automatic Control · 1999
We present an algorithm for the solution of a nontrivial coupled system of algebraic Riccati equations appearing in risk sensitive control problems. Moreover, we use comparison methods to derive non-blowup conditions for the solutions of a corresponding terminal value problem for coupled systems of Riccati differential equations.