Computing the stabilizing solution of a large class of stochastic game theoretic Riccati differential equations: a deterministic approximation
DOI10.1137/15M1049038zbMATH Open1358.93158OpenAlexW2592503195MaRDI QIDQ2968552FDOQ2968552
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
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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)
Cites Work
- State-space solutions to standard H/sub 2/ and H/sub infinity / control problems
- Properties of the solutions of rational matrix difference equations
- Title not available (Why is that?)
- Global solutions to a game-theoretic Riccati equation of stochastic control
- Stabilizing solution of periodic game-theoretic Riccati differential equation of stochastic control
- Mathematical Methods in Robust Control of Linear Stochastic Systems
- Stochastic \(H^2\) optimal control for a class of linear systems with periodic coefficients
Cited In (3)
- 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
- Computation of the stabilizing solution of game theoretic Riccati equation arising in stochastic \(H_\infty\) control problems
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