Perturbation analysis of the stochastic algebraic Riccati equation

DOI10.1186/1029-242X-2013-580zbMATH Open1291.15037WikidataQ59298722 ScholiaQ59298722MaRDI QIDQ2249061FDOQ2249061

Chun-Yueh Chiang, H.-Y. Fan, Hsin-An Chen, Matthew M. Lin

Publication date: 8 July 2014

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

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zbMATH Keywords

condition numberperturbation boundBrouwer fixed-point theoremstochastic algebraic Riccati equations

Mathematics Subject Classification ID

Numerical computation of matrix norms, conditioning, scaling (65F35) Fixed-point theorems (47H10) Matrix equations and identities (15A24) Perturbations of nonlinear operators (47H14)

Cites Work

• A Schur method for solving algebraic Riccati equations
• Stochastic $H^\infty$
• Condition numbers of algebraic Riccati equations in the Frobenius norm
• A symplectic QR like algorithm for the solution of the real algebraic Riccati equation
• A Theory of Condition
• Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
• Structure-Preserving Algorithms for Periodic Discrete-Time Algebraic Riccati Equations
• A numerically stable, structure preserving method for computing the eigenvalues of real Hamiltonian or symplectic pencils
• Perturbation Theory for Algebraic Riccati Equations
• A Chart of Numerical Methods for Structured Eigenvalue Problems
• A Sherman–Morrison–Woodbury Identity for Rank Augmenting Matrices with Application to Centering
• Residual bounds of approximate solutions of the algebraic Riccati equation
• A new method for computing the stable invariant subspace of a real Hamiltonian matrix
• Residual bounds of approximate solutions of the discrete-time algebraic Riccati equation

Cited In (4)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Perturbation Theory for Linearly Perturbed Algebraic Riccati Equations
• Small-sample statistical condition estimation of rational Riccati equations

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