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Sensitivity analysis of the differential matrix Riccati equation based on the associated linear differential system |
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| Authors: | Mihail Konstantinov Vera Angelova |
| Institution: | (1) University of Architecture and Civil Engineering, 1 Hr. Smirnenski Blv., 1421 Sofia, Bulgaria;(2) Institute of Information Technologies, Akad. G. Bontchev Str., Bl.2, 1113 Sofia, Bulgaria |
| Abstract: | 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. This revised version was published online in June 2006 with corrections to the Cover Date. |
| Keywords: | differential matrix Riccati equation matrix exponential sensitivity analysis linear– quadratic optimization optimal filtering 93B35 93B40 |
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