Two iterative algorithms for stochastic algebraic Riccati matrix equations

DOI10.1016/j.amc.2018.07.032zbMath1429.65090OpenAlexW2887259460WikidataQ129393712 ScholiaQ129393712MaRDI QIDQ2007540

Ai-guo Wu, Ying Zhang, Hui-Jie Sun

Publication date: 22 November 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2018.07.032

zbMATH Keywords

iterative algorithmslinear stochastic systemsstochastic Riccati matrix equations

Mathematics Subject Classification ID

Matrix equations and identities (15A24) Optimal stochastic control (93E20) Numerical methods for matrix equations (65F45)

Related Items (3)

Iterative solution to a class of complex matrix equations and its application in time-varying linear system ⋮ An improved iterative algorithm for solving optimal tracking control problems of stochastic systems ⋮ Incremental Newton's iterative algorithm for optimal control of Itô stochastic systems

Cites Work

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• Implicit Iterative Algorithms for Continuous Markovian Jump Lyapunov Equations
• The recursive reduced-order numerical solution of the singularly perturbed matrix differential Riccati equation
• Axiomatisations of the average and a further generalisation of monotonic sequences
• Numerical solution of the state dependent noise problem
• Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
• An implicit iterative algorithm with a tuning parameter for Itô Lyapunov matrix equations
• On a Matrix Riccati Equation of Stochastic Control
• Optimal Stationary Control of a Linear System with State-Dependent Noise

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