Homotopy for Rational Riccati Equations Arising in Stochastic Optimal Control

DOI10.1137/140953204zbMATH Open1325.65064OpenAlexW1989883989MaRDI QIDQ5251925FDOQ5251925

Liping Zhang, Yimin Wei, Eric King-wah Chu, H.-Y. Fan

Publication date: 21 May 2015

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/140953204

zbMATH Keywords

stochastic optional controlgeneralized Lyapunov equationstochastic algebraic Riccati equationgeneralized Stein equationrational algebraic Riccati equation

Mathematics Subject Classification ID

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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Cited In (5)

• Homotopy methods for the solution of general modified algebraic Riccati equations
• Newton's method for coupled continuous-time algebraic Riccati equations
• Stochastic Algebraic Riccati Equations Are Almost as Easy as Deterministic Ones Theoretically
• Fourth-order tensor Riccati equations with the Einstein product
• Small-sample statistical condition estimation of rational Riccati equations

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