Temporal difference methods for the maximal solution of discrete-time coupled algebraic Riccati equations (Q5949886)

The authors present an iterative technique for deriving the maximal solution of a set of discrete-time coupled algebraic Riccati equations, based on temporal difference methods. They trace a parallel with the theory of temporal difference algorithms for Markovian decision processes to develop a \(\lambda\)-policy iteration like algorithm for the maximal solution of these equations. The advantage of the proposed method is that an appropriate choice of \(\lambda\) between 0 and 1 can speed up the convergence of the policy evaluation step of the policy iteration method by using value iteration.