Homotopy for Rational Riccati Equations Arising in Stochastic Optimal Control

DOI10.1137/140953204zbMATH Open1325.65064OpenAlexW1989883989MaRDI QIDQ5251925FDOQ5251925

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

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

Recommendations

• scientific article
• scientific article; zbMATH DE number 433025
• scientific article; zbMATH DE number 1984121
• Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems
• scientific article; zbMATH DE number 17731
• On an infinite dimensional perturbed Riccati differential equation arising in stochastic control
• Iterations for solving a rational Riccati equation arising in stochastic control
• Riccati equation arising in the boundary control of stochastic hyperbolic systems
• Projection methods for rational Riccati equations arising in stochastic optimal control
• Stochastic homogenization of deterministic control problems

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Mathematical Methods in Robust Control of Discrete-Time Linear Stochastic Systems
• Title not available (Why is that?)
• Title not available (Why is that?)
• On a Matrix Riccati Equation of Stochastic Control
• Rational matrix equations in stochastic control.
• Lyapunov equations, energy functionals, and model order reduction of bilinear and stochastic systems
• The autonomous linear quadratic control problem. Theory and numerical solution
• Matrix Riccati equations in control and systems theory
• Block Krylov subspace methods for large algebraic Riccati equations
• Low rank methods for a class of generalized Lyapunov equations and related issues
• An Arnoldi based algorithm for large algebraic Riccati equations
• Positive operators and an inertia theorem
• Numerical solution of algebraic Riccati equations.
• Direct methods and ADI‐preconditioned Krylov subspace methods for generalized Lyapunov equations
• A Schur method for solving algebraic Riccati equations
• Title not available (Why is that?)
• Krylov Subspace Methods for Solving Large Lyapunov Equations
• An extended block Arnoldi algorithm for large-scale solutions of the continuous-time algebraic Riccati equation
• A survey of nonsymmetric Riccati equations
• Low-rank approximation to the solution of a nonsymmetric algebraic Riccati equation from transport theory
• Iterations for solving a rational Riccati equation arising in stochastic control
• Low rank approximate solutions to large Sylvester matrix equations
• Numerical solution of large-scale Lyapunov equations, Riccati equations, and linear-quadratic optimal control problems.
• Title not available (Why is that?)
• On the numerical solution of large-scale sparse discrete-time Riccati equations
• The generalized continuous algebraic Riccati equation and impulse-free continuous-time LQ optimal control
• Newton's method for a rational matrix equation occurring in stochastic control
• A Multilevel Technique for the Approximate Solution of Operator Lyapunov and Algebraic Riccati Equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Structure-Preserving Algorithms for Periodic Discrete-Time Algebraic Riccati Equations
• Properties of the solutions of rational matrix difference equations
• A structure-preserving doubling algorithm for continuous-time algebraic Riccati equations
• On a class of rational matrix differential equations arising in stochastic control.
• Title not available (Why is that?)
• Solving large-scale continuous-time algebraic Riccati equations by doubling
• Large-scale Stein and Lyapunov equations, Smith method, and applications
• Solution of algebraic Riccati equations arising in control of partial differential equations
• Properties of Stein (Lyapunov) iterations for solving a general Riccati equation
• A structured doubling algorithm for discrete-time algebraic Riccati equations with singular control weighting matrices
• A reduction technique for discrete generalized algebraic and difference Riccati equations

Cited In (6)

• 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
• 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

This page was built for publication: Homotopy for Rational Riccati Equations Arising in Stochastic Optimal Control

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5251925)