Temporal difference methods for the maximal solution of discrete-time coupled algebraic Riccati equations

DOI10.1023/A:1017510321237zbMath0984.93051OpenAlexW3000602159MaRDI QIDQ5949886

Oswaldo L. V. Costa, Julio C. C. Aya

Publication date: 5 December 2001

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1017510321237

zbMATH Keywords

maximal solution\(\lambda\)-policy iterationdiscrete-time coupled algebraic Riccati equationsMarkovian decision processestemporal difference methods

Mathematics Subject Classification ID

Adaptive control/observation systems (93C40) Discrete-time control/observation systems (93C55) Linear-quadratic optimal control problems (49N10)

Related Items

A method to solve the discrete-time coupled algebraic Riccati equations ⋮ On the iterative method for the system of nonlinear matrix equations ⋮ A new iteration to coupled discrete-time generalized Riccati equations ⋮ Iterative algorithm for solving a system of nonlinear matrix equations ⋮ New matrix bounds, an existence uniqueness and a fixed-point iterative algorithm for the solution of the unified coupled algebraic Riccati equation ⋮ Numerical Solution of the Discrete-Time Coupled Algebraic Riccati Equations ⋮ Stein iterations for the coupled discrete-time Riccati equations

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