Iterative Methods for a Linearly Perturbed Algebraic Matrix Riccati Equation Arising in Stochastic Control
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Publication:2841911
DOI10.1080/01630563.2012.738272zbMath1275.65023OpenAlexW2069027429MaRDI QIDQ2841911
Publication date: 30 July 2013
Published in: Numerical Functional Analysis and Optimization (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10294/5260
optimal controliterative methodsconvergence ratematrix equationcoupled algebraic Riccati equationsLyapunov iterationMarkov jump linear systemlinearly perturbed Riccati equation
Related Items (5)
New unified matrix upper bound on the solution of the continuous coupled algebraic Riccati equation ⋮ On the convergence of the accelerated Riccati iteration method ⋮ Two iterative algorithms for stochastic algebraic Riccati matrix equations ⋮ Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control ⋮ Newton's method for coupled continuous-time algebraic Riccati equations
Cites Work
- Stability of stochastic systems with uncertain time delays
- A new approach to lineary perturbed Riccati equations arising in stochastic control
- Monotonicity of algebraic Lyapunov iterations for optimal control of jump parameter linear systems
- Solutions for the linear-quadratic control problem of Markov jump linear systems
- On some iterations for optimal control of jump linear equations
- Lyapunov iterations for optimal control of jump linear systems at steady state
- Algorithm 432 [C2: Solution of the matrix equation AX + XB = C [F4]]
- On a Matrix Riccati Equation of Stochastic Control
- Frobenius Theory of Positive Operators: Comparison Theorems and Applications
- Newton's method for a rational matrix equation occurring in stochastic control
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