Computational method for solving a stochastic linear-quadratic control problem given an unsolvable stochastic algebraic Riccati equation (Q3143255)
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scientific article; zbMATH DE number 6111092
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| English | Computational method for solving a stochastic linear-quadratic control problem given an unsolvable stochastic algebraic Riccati equation |
scientific article; zbMATH DE number 6111092 |
Statements
Computational Method for Solving a Stochastic Linear-Quadratic Control Problem Given an Unsolvable Stochastic Algebraic Riccati Equation (English)
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29 November 2012
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stochastic algebraic Riccati equation
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linear matrix inequality
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stochastic linear-quadratic control problem
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generalized convex feasible set
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fixed-point set
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nonexpansive mapping
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fixed-point optimization algorithm
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0.7958815693855286
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0.791270911693573
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0.7827032208442688
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0.7790032625198364
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