Perturbation analysis of the stochastic algebraic Riccati equation

DOI10.1186/1029-242X-2013-580MaRDI QIDQ2249061zbMATH OpenWikidataFDO

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

Publication date 8 July 2014

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

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)

Recommendations

• scientific article; zbMATH DE number 4100489
• Perturbation estimates for the two kinds of algebraic Riccati equations arising in a stochastic control
• Perturbation Theory for Algebraic Riccati Equations
• Perturbation analysis and condition numbers of rational Riccati equations
• Perturbation analysis of rational Riccati equations

Cites work

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

Cited in

(10)

• Residual bounds of the stochastic algebraic Riccati equation
• Perturbation analysis of rational Riccati equations
• Perturbation estimates for the two kinds of algebraic Riccati equations arising in a stochastic control
• scientific article; zbMATH DE number 4100489 (Why is no real title available?)
• Condition number analysis of the stochastic algebraic Riccati equation
• scientific article; zbMATH DE number 4075282 (Why is no real title available?)
• Stochastic Algebraic Riccati Equations Are Almost as Easy as Deterministic Ones Theoretically
• Perturbation analysis and condition numbers of rational Riccati equations
• Perturbation Theory for Linearly Perturbed Algebraic Riccati Equations
• Small-sample statistical condition estimation of rational Riccati equations

This page was built for publication: Perturbation analysis of the stochastic algebraic Riccati equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2249061)