Small-sample statistical condition estimation of rational Riccati equations

DOI10.1016/J.AML.2019.106172MaRDI QIDQ2184944zbMATH OpenOpenAlexWikidataFDO

Authors H.-Y. Fan, Liping Zhang, Eric King-wah Chu, Yimin Wei

Publication date 4 June 2020

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2019.106172

zbMATH Keywords

statistical condition estimationsmall-samplerational Riccati equationsFréchet derivative

Mathematics Subject Classification ID

Iterative numerical methods for linear systems (65F10) Numerical computation of matrix norms, conditioning, scaling (65F35) Conditioning of matrices (15A12) Matrix equations and identities (15A24) Numerical methods for matrix equations (65F45)

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Cites work

• scientific article; zbMATH DE number 1154412 (Why is no real title available?)
• scientific article; zbMATH DE number 6159604 (Why is no real title available?)
• Applications of statistical condition estimation to the solution of linear systems
• Backward errors and small-sample condition estimation for ⋆-Sylveter equations
• Effective condition numbers and small sample statistical condition estimation for the generalized Sylvester equation
• Homotopy for Rational Riccati Equations Arising in Stochastic Optimal Control
• Mixed, componentwise condition numbers and small sample statistical condition estimation of Sylvester equations
• Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control
• On a class of rational matrix differential equations arising in stochastic control.
• Perturbation analysis and condition numbers of symmetric algebraic Riccati equations
• Perturbation analysis of the stochastic algebraic Riccati equation
• Small-Sample Statistical Condition Estimates for General Matrix Functions
• Statistical Condition Estimation for Linear Least Squares
• Structured condition numbers and small sample condition estimation of symmetric algebraic Riccati equations
• The autonomous linear quadratic control problem. Theory and numerical solution

Cited in

(2)

• Mixed, componentwise condition numbers and small sample statistical condition estimation of Sylvester equations
• Fourth-order tensor Riccati equations with the Einstein product

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