Several iterative procedures to compute the stabilizing solution of a discrete-time Riccati equation with periodic coefficients arising in connection with a stochastic linear quadratic control problem

zbMATH Open1333.65045MaRDI QIDQ5744751FDOQ5744751

Authors: Vasile Dragan, Ivan Ganchev Ivanov 

Publication date: 19 February 2016

Full work available at URL: http://www.mathematics-and-its-applications.com/preview/june2015/data/articol7.pdf

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zbMATH Keywords

numerical examplesstochastic controliterative methodperiodic coefficientsstabilizing solutiondiscrete-time Riccati equationsKleinman algorithmNewton-Kantorovich procedureStein iterations

Mathematics Subject Classification ID

Iterative numerical methods for linear systems (65F10) Matrix equations and identities (15A24)

Cited In (3)

• Properties of Stein (Lyapunov) iterations for solving a general Riccati equation
• Reply to the comments on ``Computing the stabilizing solution of a class of discrete-time periodic Riccati equations by Vasile Dragan, Samir Aberkane and Ivan G. Ivanov
• Iterative algorithm to compute the maximal and stabilising solutions of a general class of discrete-time Riccati-type equations

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