Homotopy for Rational Riccati Equations Arising in Stochastic Optimal Control
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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
- A Schur method for solving algebraic Riccati equations
- A reduction technique for discrete generalized algebraic and difference Riccati equations
- A structure-preserving doubling algorithm for continuous-time algebraic Riccati equations
- A structured doubling algorithm for discrete-time algebraic Riccati equations with singular control weighting matrices
- A survey of nonsymmetric Riccati equations
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- An extended block Arnoldi algorithm for large-scale solutions of the continuous-time algebraic Riccati equation
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- Direct methods and ADI‐preconditioned Krylov subspace methods for generalized Lyapunov equations
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- Krylov Subspace Methods for Solving Large Lyapunov Equations
- Large-scale Stein and Lyapunov equations, Smith method, and applications
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- Lyapunov equations, energy functionals, and model order reduction of bilinear and stochastic systems
- Mathematical Methods in Robust Control of Discrete-Time Linear Stochastic Systems
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- On a Matrix Riccati Equation of Stochastic Control
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- Positive operators and an inertia theorem
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Cited in
(9)- Homotopy methods for the solution of general modified algebraic Riccati equations
- Projection methods for rational Riccati equations arising in stochastic optimal control
- Newton's method for coupled continuous-time algebraic 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
- A homotopy continuation solution of the covariance extension equation
- Fourth-order tensor Riccati equations with the Einstein product
- Small-sample statistical condition estimation of rational Riccati equations
- A complex line homotopy algorithm for coupled algebraic Riccati equations
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