Properties of Stein (Lyapunov) iterations for solving a general Riccati equation (Q884499)
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scientific article; zbMATH DE number 5161915
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| English | Properties of Stein (Lyapunov) iterations for solving a general Riccati equation |
scientific article; zbMATH DE number 5161915 |
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Properties of Stein (Lyapunov) iterations for solving a general Riccati equation (English)
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6 June 2007
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The author proposes a fast algorithm to solve the stochastic rational matrix Riccati equation. The positive definite case has been solved by \textit{G. Freiling} and \textit{A. Hochhaus} [Comput. Math. Appl. 45, No. 6--9, 1137--1154 (2003; Zbl 1055.39033)] via Newton's method at \(O(n^6)\) cost. The new algorithm for this problem relies on solving the Stein equation \(F^*XF = X+U\) in \(O(n^3)\) time. The paper closes with convergence proofs of the new method and an extension to the positive semidefinite case.
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stochastic control
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Newton's method
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Stein equation
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algorithm
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stochastic rational matrix Riccati equation
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convergence
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0.9334185719490052
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0.9100100994110109
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0.8388620018959045
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