Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control (Q5963405)
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scientific article; zbMATH DE number 6543028
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| English | Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control |
scientific article; zbMATH DE number 6543028 |
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Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control (English)
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19 February 2016
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algebraic Riccati equation
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bilinear model order reduction
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generalized Lyapunov equation
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generalized Stein equation
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large-scale problem
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Newton's method
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rational Riccati equation
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Smith method
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stochastic algebraic Riccati equation
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stochastic optimal control
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algorithm
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computational complexity
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convergence
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error analysis
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numerical example
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0.8762220740318298
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0.8661198019981384
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0.8643172979354858
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0.8595022559165955
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0.850835919380188
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