The Experts below are selected from a list of 171 Experts worldwide ranked by ideXlab platform
D. Henry - One of the best experts on this subject based on the ideXlab platform.
-
New perturbation bounds for the discrete-time H/sup /spl infin// filtering problem
Proceedings of the 41st IEEE Conference on Decision and Control 2002., 2002Co-Authors: N D Christov, M. Najim, E. Grivel, D. HenryAbstract:The paper deals with the local sensitivity of the discrete-time infinite-horizon H/sup /spl infin// filtering problem. A new nonlinear perturbation bound is derived for the solution of the related Matrix Riccati Equation.
N D Christov - One of the best experts on this subject based on the ideXlab platform.
-
New perturbation bounds for the discrete-time H/sup /spl infin// filtering problem
Proceedings of the 41st IEEE Conference on Decision and Control 2002., 2002Co-Authors: N D Christov, M. Najim, E. Grivel, D. HenryAbstract:The paper deals with the local sensitivity of the discrete-time infinite-horizon H/sup /spl infin// filtering problem. A new nonlinear perturbation bound is derived for the solution of the related Matrix Riccati Equation.
V.a. Angelova - One of the best experts on this subject based on the ideXlab platform.
-
Local Perturbation Analysis of the Stochastic Matrix Riccati Equation with Applications in Finance
Advanced Computing in Industrial Mathematics, 2017Co-Authors: V.a. AngelovaAbstract:In this paper a local perturbation analysis of the stochastic Matrix Riccati Equation /SMRE/ with applications in linear quadratic optimization of stochastic finance models is made. Rewriting the SMRE in equivalent form of affine linear operators and applying the techniques of Frechet derivatives, absolute and relative norm-wise condition numbers are derived and local (first order) perturbation bounds for the error in the computed solution are formulated. The condition numbers and the perturbation bounds allow to estimate the conditioning of the SMRE and the accuracy of its computed by a numerical stable algorithm solution.
-
Sensitivity analysis of the differential Matrix Riccati Equation based on the associated linear differential system
Advances in Computational Mathematics, 1997Co-Authors: M.m. Konstantinov, V.a. AngelovaAbstract:Perturbation bounds are given for the solution of the nth order differential Matrix Riccati Equation using the associated linear 2nth order differential system. The new bounds are alternative to those existing in the literature and are sharper in some cases.
-
Conditioning and sensitivity of the difference Matrix Riccati Equation
Proceedings of 1995 American Control Conference - ACC'95, 1995Co-Authors: M.m. Konstantinov, I.p. Poptchev, V.a. AngelovaAbstract:The paper presents a local and nonlocal perturbation analysis of the difference Matrix Riccati Equation. The conditioning of the Equation is determined in particular.
Vassilios Tsachouridis - One of the best experts on this subject based on the ideXlab platform.
-
A new preconditioning method for the Matrix Riccati Equation
2006 IEEE Conference on Computer Aided Control System Design 2006 IEEE International Conference on Control Applications 2006 IEEE International Sympos, 2006Co-Authors: Vassilios TsachouridisAbstract:A novel scaling method for preconditioning the classical Matrix algebraic Riccati Equation (ARE) is presented. The method is based on the assignment of predetermined values to the coefficients and the unknown matrices of the ARE. The proposed framework is independent of any numerical method and therefore its use is general. An Implementation of the method through the Newton algorithm is shown with a benchmark numerical example from the literature and comparisons with other existing methods are presented.
-
homogeneous projective transformation and scaling of a general quadratic algebraic Matrix Riccati Equation
IFAC Proceedings Volumes, 2000Co-Authors: Vassilios TsachouridisAbstract:Abstract The Matrix formulation and solution to the problems of homogeneous projective transformation and scaling of a generalized quadratic algebraic Matrix Riccati Equation is presented. The method presented is independent from the numerical algorithms used for the numerical solution of the Equation under study. In the present paper, the proposed method is applied to probability-l homotopy algorithms for the numerical solution of the Equation under study. The Advantages and disadvantages of the proposed method are discussed through a numerical example.
-
Numerical Solution of a General Quadratic Algebraic Matrix Riccati Equation via Probability-1 Homotopy Algorithms 1 1Dedicated to the memory of my father Alexandros.
IFAC Proceedings Volumes, 2000Co-Authors: Vassilios TsachouridisAbstract:Abstract The design of an algorithm for the numerical solution of a generalized quadratic algebraic Matrix Riccati Equation is presented. The approach is based on probability-1 homotopy methods. The algorithm is illustrated with numerical examples.
E. Grivel - One of the best experts on this subject based on the ideXlab platform.
-
New perturbation bounds for the discrete-time H/sup /spl infin// filtering problem
Proceedings of the 41st IEEE Conference on Decision and Control 2002., 2002Co-Authors: N D Christov, M. Najim, E. Grivel, D. HenryAbstract:The paper deals with the local sensitivity of the discrete-time infinite-horizon H/sup /spl infin// filtering problem. A new nonlinear perturbation bound is derived for the solution of the related Matrix Riccati Equation.