Iterative solution of a matrix Riccati equation arising in stochastic control (Q4801283)
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scientific article; zbMATH DE number 1893721
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| English | Iterative solution of a matrix Riccati equation arising in stochastic control |
scientific article; zbMATH DE number 1893721 |
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19 September 2003
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matrix Riccati equation
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iterative methods
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numerical examples
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maximal Hermitian solution
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convergence
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Newton's method
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eigenvalues
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0.9223370552062988
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0.9201033711433412
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0.8954193592071533
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Iterative solution of a matrix Riccati equation arising in stochastic control (English)
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An iterative method for finding the maximal Hermitian solution of a matrix Riccati equation is proposed. It is shown that the convergence of this method is linear (while the convergence of Newton's method is quadratic) when the first Fréchet derivative of the corresponding Riccati function (calculated at a suitable matrix) has no eigenvalues on the imaginary axis. When 0 is an eigenvalue of this derivative, the convergence of the proposed method is sublinear (while the convergence of Newton's method is linear). It is also shown how the performance of Newton's method can be improved when its convergence is not quadratic. Some examples are presented too. For the entire collection see [Zbl 1005.00035].
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