Computational Method for Solving a Stochastic Linear-Quadratic Control Problem Given an Unsolvable Stochastic Algebraic Riccati Equation (Q3143255)

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Computational Method for Solving a Stochastic Linear-Quadratic Control Problem Given an Unsolvable Stochastic Algebraic Riccati Equation
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    Computational Method for Solving a Stochastic Linear-Quadratic Control Problem Given an Unsolvable Stochastic Algebraic Riccati Equation (English)
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    29 November 2012
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    stochastic algebraic Riccati equation
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    linear matrix inequality
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    stochastic linear-quadratic control problem
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    generalized convex feasible set
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    fixed-point set
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    nonexpansive mapping
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    fixed-point optimization algorithm
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