Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control (Q5963405): Difference between revisions

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scientific article; zbMATH DE number 6543028

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English	Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control	scientific article; zbMATH DE number 6543028

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instance of

scholarly article

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title

Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control (English)

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19 February 2016

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zbMATH Keywords

algebraic Riccati equation

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bilinear model order reduction

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generalized Lyapunov equation

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generalized Stein equation

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large-scale problem

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Newton's method

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rational Riccati equation

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Smith method

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stochastic algebraic Riccati equation

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stochastic optimal control

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algorithm

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computational complexity

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convergence

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error analysis

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numerical example

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describes a project that uses

Matlab

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MESS

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s11075-015-9991-8

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cites work

Matrix Riccati equations in control and systems theory

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A projection method for model reduction of bilinear dynamical systems

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Low rank methods for a class of generalized Lyapunov equations and related issues

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Lyapunov Equations, Energy Functionals, and Model Order Reduction of Bilinear and Stochastic Systems

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On the numerical solution of large-scale sparse discrete-time Riccati equations

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Q5701665

0 references

Iterations for solving a rational Riccati equation arising in stochastic control

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On a class of rational matrix differential equations arising in stochastic control.

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Numerical solution of large and sparse continuous time algebraic matrix Riccati and Lyapunov equations: a state of the art survey

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Numerical Solution of Algebraic Riccati Equations

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The Riccati algorithm for eigenvalues and invariant subspaces of matrices with inexpensive action

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A structure-preserving doubling algorithm for continuous-time algebraic Riccati equations

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Structure-Preserving Algorithms for Periodic Discrete-Time Algebraic Riccati Equations

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Large-scale discrete-time algebraic Riccati equations -- doubling algorithm and error analysis

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Rational matrix equations in stochastic control.

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Direct methods and ADI‐preconditioned Krylov subspace methods for generalized Lyapunov equations

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Newton's method for a rational matrix equation occurring in stochastic control

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Mathematical Methods in Robust Control of Discrete-Time Linear Stochastic Systems

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A survey of nonsymmetric Riccati equations

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Properties of the solutions of rational matrix difference equations

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Q4917542

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Q4801283

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Iterative Methods for a Linearly Perturbed Algebraic Matrix Riccati Equation Arising in Stochastic Control

0 references

An extended block Arnoldi algorithm for large-scale solutions of the continuous-time algebraic Riccati equation

0 references

Properties of Stein (Lyapunov) iterations for solving a general Riccati equation

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Krylov Subspace Methods for Solving Large Lyapunov Equations

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Block Krylov subspace methods for large algebraic Riccati equations

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An Arnoldi based algorithm for large algebraic Riccati equations

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Low rank approximate solutions to large Sylvester matrix equations

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Truncated low‐rank methods for solving general linear matrix equations

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Q4850020

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Solving large-scale continuous-time algebraic Riccati equations by doubling

0 references

Large-scale Stein and Lyapunov equations, Smith method, and applications

0 references

Convergence Analysis of Structure-Preserving Doubling Algorithms for Riccati-Type Matrix Equations

0 references

The autonomous linear quadratic control problem. Theory and numerical solution

0 references

Positive operators and an inertia theorem

0 references

A New Iterative Method for Solving Large-Scale Lyapunov Matrix Equations

0 references

Computational Methods for Linear Matrix Equations

0 references

Low-rank approximation to the solution of a nonsymmetric algebraic Riccati equation from transport theory

0 references

On a Matrix Riccati Equation of Stochastic Control

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On Smith-type iterative algorithms for the Stein matrix equation

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Identifiers

zbMATH Open document ID

1333.65064

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Mathematics Subject Classification ID

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10.1007/S11075-015-9991-8

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Sitelinks

Mathematics(1 entry)

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+Matrix Riccati equations in control and systems theory
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@@ Property / cites work @@
+A projection method for model reduction of bilinear dynamical systems
+Normal rank
@@ Property / cites work @@
+Low rank methods for a class of generalized Lyapunov equations and related issues
+Normal rank
@@ Property / cites work @@
+Lyapunov Equations, Energy Functionals, and Model Order Reduction of Bilinear and Stochastic Systems
+Normal rank
@@ Property / cites work @@
+On the numerical solution of large-scale sparse discrete-time Riccati equations
+Normal rank
@@ Property / cites work @@
+Q5701665
@@ Property / cites work: Q5701665 / rank @@
+Normal rank
@@ Property / cites work @@
+Iterations for solving a rational Riccati equation arising in stochastic control
+Normal rank
@@ Property / cites work @@
+On a class of rational matrix differential equations arising in stochastic control.
+Normal rank
@@ Property / cites work @@
+Numerical solution of large and sparse continuous time algebraic matrix Riccati and Lyapunov equations: a state of the art survey
+Normal rank
@@ Property / cites work @@
+Numerical Solution of Algebraic Riccati Equations
@@ Property / cites work: Numerical Solution of Algebraic Riccati Equations / rank @@
+Normal rank
@@ Property / cites work @@
+The Riccati algorithm for eigenvalues and invariant subspaces of matrices with inexpensive action
+Normal rank
@@ Property / cites work @@
+A structure-preserving doubling algorithm for continuous-time algebraic Riccati equations
+Normal rank
@@ Property / cites work @@
+Structure-Preserving Algorithms for Periodic Discrete-Time Algebraic Riccati Equations
+Normal rank
@@ Property / cites work @@
+Large-scale discrete-time algebraic Riccati equations -- doubling algorithm and error analysis
+Normal rank
@@ Property / cites work @@
+Rational matrix equations in stochastic control.
@@ Property / cites work: Rational matrix equations in stochastic control. / rank @@
+Normal rank
@@ Property / cites work @@
+Direct methods and ADI‐preconditioned Krylov subspace methods for generalized Lyapunov equations
+Normal rank
@@ Property / cites work @@
+Newton's method for a rational matrix equation occurring in stochastic control
+Normal rank
@@ Property / cites work @@
+Mathematical Methods in Robust Control of Discrete-Time Linear Stochastic Systems
+Normal rank
@@ Property / cites work @@
+A survey of nonsymmetric Riccati equations
@@ Property / cites work: A survey of nonsymmetric Riccati equations / rank @@
+Normal rank
@@ Property / cites work @@
+Properties of the solutions of rational matrix difference equations
+Normal rank
@@ Property / cites work @@
+Q4917542
@@ Property / cites work: Q4917542 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4801283
@@ Property / cites work: Q4801283 / rank @@
+Normal rank
@@ Property / cites work @@
+Iterative Methods for a Linearly Perturbed Algebraic Matrix Riccati Equation Arising in Stochastic Control
+Normal rank
@@ Property / cites work @@
+An extended block Arnoldi algorithm for large-scale solutions of the continuous-time algebraic Riccati equation
+Normal rank
@@ Property / cites work @@
+Properties of Stein (Lyapunov) iterations for solving a general Riccati equation
+Normal rank
@@ Property / cites work @@
+Krylov Subspace Methods for Solving Large Lyapunov Equations
+Normal rank
@@ Property / cites work @@
+Block Krylov subspace methods for large algebraic Riccati equations
+Normal rank
@@ Property / cites work @@
+An Arnoldi based algorithm for large algebraic Riccati equations
+Normal rank
@@ Property / cites work @@
+Low rank approximate solutions to large Sylvester matrix equations
+Normal rank
@@ Property / cites work @@
+Truncated low‐rank methods for solving general linear matrix equations
+Normal rank
@@ Property / cites work @@
+Q4850020
@@ Property / cites work: Q4850020 / rank @@
+Normal rank
@@ Property / cites work @@
+Solving large-scale continuous-time algebraic Riccati equations by doubling
+Normal rank
@@ Property / cites work @@
+Large-scale Stein and Lyapunov equations, Smith method, and applications
+Normal rank
@@ Property / cites work @@
+Convergence Analysis of Structure-Preserving Doubling Algorithms for Riccati-Type Matrix Equations
+Normal rank
@@ Property / cites work @@
+The autonomous linear quadratic control problem. Theory and numerical solution
+Normal rank
@@ Property / cites work @@
+Positive operators and an inertia theorem
@@ Property / cites work: Positive operators and an inertia theorem / rank @@
+Normal rank
@@ Property / cites work @@
+A New Iterative Method for Solving Large-Scale Lyapunov Matrix Equations
+Normal rank
@@ Property / cites work @@
+Computational Methods for Linear Matrix Equations
@@ Property / cites work: Computational Methods for Linear Matrix Equations / rank @@
+Normal rank
@@ Property / cites work @@
+Low-rank approximation to the solution of a nonsymmetric algebraic Riccati equation from transport theory
+Normal rank
@@ Property / cites work @@
+On a Matrix Riccati Equation of Stochastic Control
+Normal rank
@@ Property / cites work @@
+On Smith-type iterative algorithms for the Stein matrix equation
+Normal rank
@@ Property / DOI @@
+.1007/S11075-015-9991-8
@@ Property / DOI: 10.1007/S11075-015-9991-8 / rank @@
+Normal rank