Several iterative procedures to compute the stabilizing solution of a discrete-time Riccati equation with periodic coefficients arising in connection with a stochastic linear quadratic control problem (Q5744751)
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scientific article; zbMATH DE number 6542726
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| English | Several iterative procedures to compute the stabilizing solution of a discrete-time Riccati equation with periodic coefficients arising in connection with a stochastic linear quadratic control problem |
scientific article; zbMATH DE number 6542726 |
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19 February 2016
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discrete-time Riccati equations
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periodic coefficients
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stabilizing solution
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stochastic control
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iterative method
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Kleinman algorithm
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Newton-Kantorovich procedure
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Stein iterations
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numerical examples
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0.8564526438713074
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0.8539721369743347
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0.8433707356452942
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