On some iterations for optimal control of jump linear equations (Q2378824): Difference between revisions
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Revision as of 01:17, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On some iterations for optimal control of jump linear equations |
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On some iterations for optimal control of jump linear equations (English)
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14 January 2009
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The author describes some iterative methods for solving coupled algebraic Riccati equations of the optimal control problem for jump linear systems. Some of these methods are known from the literature. Two new methods are proposed: an accelerated Lyapunov method and an accelerated Riccati method. The first method is investigated theoretically. Some numerical experiments are presented to show the effectiveness of the different methods.
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coupled algebraic Riccati equation
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Lyapunov iterations, Newton's method
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positive semidefinite matrix
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convergence acceleration
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optimal control problem
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jump linear systems
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Riccati method
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numerical experiments
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