Computational Method for Solving a Stochastic Linear-Quadratic Control Problem Given an Unsolvable Stochastic Algebraic Riccati Equation

DOI10.1137/110850542zbMath1252.93134MaRDI QIDQ3143255

Isao Yamada, Hideaki Iiduka

Publication date: 29 November 2012

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

Full work available at URL: https://doi.org/10.1137/110850542

zbMATH Keywords

nonexpansive mapping; linear matrix inequality; stochastic algebraic Riccati equation; fixed-point set; stochastic linear-quadratic control problem; generalized convex feasible set; fixed-point optimization algorithm

Mathematics Subject Classification ID

90C25: Convex programming

93E20: Optimal stochastic control

47H09: Contraction-type mappings, nonexpansive mappings, (A)-proper mappings, etc.

49N10: Linear-quadratic optimal control problems

49J15: Existence theories for optimal control problems involving ordinary differential equations

65K15: Numerical methods for variational inequalities and related problems

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