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

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)

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