Homotopy for Rational Riccati Equations Arising in Stochastic Optimal Control
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Publication:5251925
stochastic optional controlgeneralized Lyapunov equationstochastic algebraic Riccati equationgeneralized Stein equationrational algebraic Riccati equation
Iterative numerical methods for linear systems (65F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Global methods, including homotopy approaches to the numerical solution of nonlinear equations (65H20) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20) Matrix equations and identities (15A24)
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- A Multilevel Technique for the Approximate Solution of Operator Lyapunov and Algebraic Riccati Equations
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Cited in
(9)- Small-sample statistical condition estimation of rational Riccati equations
- Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control
- Stochastic Algebraic Riccati Equations Are Almost as Easy as Deterministic Ones Theoretically
- Newton's method for coupled continuous-time algebraic Riccati equations
- Fourth-order tensor Riccati equations with the Einstein product
- Homotopy methods for the solution of general modified algebraic Riccati equations
- Projection methods for rational Riccati equations arising in stochastic optimal control
- A complex line homotopy algorithm for coupled algebraic Riccati equations
- A homotopy continuation solution of the covariance extension equation
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