Computing the stabilizing solution of a large class of stochastic game theoretic Riccati differential equations: a deterministic approximation

DOI10.1137/15M1049038MaRDI QIDQ2968552zbMATH OpenOpenAlexFDO

Authors Vasile Dragan, Samir Aberkane

Publication date 17 March 2017

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/15m1049038

zbMATH Keywords

comparison theoremstochastic controlstochastic Riccati equationsiterative computation

Mathematics Subject Classification ID

Diffusion processes (60J60) Continuous-time Markov processes on discrete state spaces (60J27) Stochastic games, stochastic differential games (91A15) Dynamic games (91A25) Linear systems in control theory (93C05) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 836581 (Why is no real title available?)
• Global solutions to a game-theoretic Riccati equation of stochastic control
• Mathematical methods in robust control of linear stochastic systems
• Properties of the solutions of rational matrix difference equations
• Stabilizing solution of periodic game-theoretic Riccati differential equation of stochastic control
• State-space solutions to standard H/sub 2/ and H/sub infinity / control problems
• Stochastic \(H^2\) optimal control for a class of linear systems with periodic coefficients

Cited in

(5)

• An iterative algorithm to solve state-perturbed stochastic algebraic Riccati equations in LQ zero-sum games
• A numerical procedure to compute the stabilising solution of game theoretic Riccati equations of stochastic control
• Stabilizing solution of periodic game-theoretic Riccati differential equation of stochastic control
• An addendum to the problem of numerical computation of the stabilizing solution of periodic game theoretic Riccati differential equation of stochastic control
• Computation of the stabilizing solution of game theoretic Riccati equation arising in stochastic H_ control problems

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