Newton's method for a rational matrix equation occurring in stochastic control
From MaRDI portal
Publication:5946176
DOI10.1016/S0024-3795(00)00144-0zbMath0982.65050MaRDI QIDQ5946176
Diederich Hinrichsen, Tobias Damm
Publication date: 14 October 2001
Published in: Linear Algebra and its Applications (Search for Journal in Brave)
stochastic controlRiccati equationsNewton methodpositive operatorsconcave operatorsrational matrix equationsresolvent positive operators
Numerical optimization and variational techniques (65K10) Matrix equations and identities (15A24) Optimal stochastic control (93E20)
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