Properties of Stein (Lyapunov) iterations for solving a general Riccati equation
DOI10.1016/J.NA.2006.07.003zbMATH Open1122.65041OpenAlexW1990139897MaRDI QIDQ884499FDOQ884499
Publication date: 6 June 2007
Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.na.2006.07.003
convergencealgorithmstochastic controlNewton's methodStein equationstochastic rational matrix Riccati equation
Miscellaneous inequalities involving matrices (15A45) Optimal stochastic control (93E20) Matrix equations and identities (15A24)
Cites Work
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
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- Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
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- Properties of the solutions of rational matrix difference equations
- Lyapunov iterations for optimal control of jump linear systems at steady state
- On a class of rational matrix differential equations arising in stochastic control.
- Explicit efficient frontier of a continuous-time mean-variance portfolio selection problem
- Monotonicity of algebraic Lyapunov iterations for optimal control of jump parameter linear systems
- Solution of the state-dependent noise optimal control problem in terms of Lyapunov iterations
Cited In (12)
- Convergence analysis of some iterative methods for a nonlinear matrix equation
- A method to solve the discrete-time coupled algebraic Riccati equations
- Homotopy for Rational Riccati Equations Arising in Stochastic Optimal Control
- Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control
- Stochastic Algebraic Riccati Equations Are Almost as Easy as Deterministic Ones Theoretically
- Common positive solutions for two non-linear matrix equations using fixed point results in \(b\)-metric-like spaces
- Open-loop and closed-loop Nash equilibria for the LQ stochastic difference game
- Perturbation Theory for Linearly Perturbed Algebraic Riccati Equations
- An iterative technique for bounding derivatives of solutions of Stein equations
- Weight splitting iteration methods to solve quadratic nonlinear matrix equation \(MY^2+NY+P=0\)
- Iterative algorithms based on weight splitting to solve Riccati matrix equation \(XDX - XC - BX + A = 0\)
- New matrix bounds, an existence uniqueness and a fixed-point iterative algorithm for the solution of the unified coupled algebraic Riccati equation
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