Stein iterations for the coupled discrete-time Riccati equations

DOI10.1016/j.na.2009.06.025zbMath1190.65066MaRDI QIDQ1044505

Ivan Ganchev Ivanov

Publication date: 18 December 2009

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2009.06.025

zbMATH Keywords

algorithm; numerical example; iterative method; Riccati matrix equation; quadratic optimal control problems; Stein matrix equation; Markovian jump linear system; positive definite solution; discrete-time Riccati equations

Mathematics Subject Classification ID

65K10: Numerical optimization and variational techniques

93C55: Discrete-time control/observation systems

15A24: Matrix equations and identities

49N10: Linear-quadratic optimal control problems

65F10: Iterative numerical methods for linear systems

Related Items

New matrix bounds, an existence uniqueness and a fixed-point iterative algorithm for the solution of the unified coupled algebraic Riccati equation, On the iterative method for the system of nonlinear matrix equations, A new iteration to coupled discrete-time generalized Riccati equations, Iterative algorithm for solving a system of nonlinear matrix equations, Numerical Solution of the Discrete-Time Coupled Algebraic Riccati Equations

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