On some iterations for optimal control of jump linear equations (Q2378824)

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.