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

DOI10.1137/110850542zbMath1252.93134OpenAlexW2031658331MaRDI 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 mappinglinear matrix inequalitystochastic algebraic Riccati equationfixed-point setstochastic linear-quadratic control problemgeneralized convex feasible setfixed-point optimization algorithm

Mathematics Subject Classification ID

Convex programming (90C25) Optimal stochastic control (93E20) Contraction-type mappings, nonexpansive mappings, (A)-proper mappings, etc. (47H09) Linear-quadratic optimal control problems (49N10) Existence theories for optimal control problems involving ordinary differential equations (49J15) Numerical methods for variational inequalities and related problems (65K15)

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