Matrix-sign algorithms for Riccati equations

DOI10.1093/IMAMCI/9.4.331MaRDI QIDQ3141148zbMATH OpenOpenAlexFDO

Authors Philip M. Papadopoulos, Charles S. Kenney, Alan J. Laub

Publication date 12 December 1993

Published in IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imamci/9.4.331

zbMATH Keywords

large-scale algebraic Riccati equationsmatrix sign algorithmsmatrix sign iterationsparallel computation

Mathematics Subject Classification ID

Iterative numerical methods for linear systems (65F10) Numerical computation of matrix norms, conditioning, scaling (65F35) Parallel numerical computation (65Y05) Algebraic methods (93B25)

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• Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals
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