Properties of Stein (Lyapunov) iterations for solving a general Riccati equation
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Publication:884499
DOI10.1016/j.na.2006.07.003zbMath1122.65041OpenAlexW1990139897MaRDI QIDQ884499
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
algorithmconvergenceNewton's methodstochastic controlStein equationstochastic rational matrix Riccati equation
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Cites Work
- Solution of the state-dependent noise optimal control problem in terms of Lyapunov iterations
- On a class of rational matrix differential equations arising in stochastic control.
- Well-posedness and attainability of indefinite stochastic linear quadratic control in infinite time horizon
- Monotonicity of algebraic Lyapunov iterations for optimal control of jump parameter linear systems
- Properties of the solutions of rational matrix difference equations
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
- Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
- Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
- Lyapunov iterations for optimal control of jump linear systems at steady state
- Newton's method for a rational matrix equation occurring in stochastic control
- Unnamed Item
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