Solution of the state-dependent noise optimal control problem in terms of Lyapunov iterations

DOI10.1016/S0005-1098(98)00232-5zbMath0934.93070OpenAlexW2071768597MaRDI QIDQ1298247

Ricardo Losada, Zoran Gajic

Publication date: 23 January 2000

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0005-1098(98)00232-5

zbMATH Keywords

stochastic controlalgebraic Riccati equationsnumerical algorithmsLyapunov methodslinear-quadratic regulators

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (7)

On some iterations for optimal control of jump linear equations ⋮ Perturbation Theory for Linearly Perturbed Algebraic Riccati Equations ⋮ Properties of Stein (Lyapunov) iterations for solving a general Riccati equation ⋮ Two iterative algorithms for stochastic algebraic Riccati matrix equations ⋮ An algorithm for solving a perturbed algebraic Riccati equation ⋮ Soft-constrained stochastic Nash games for weakly coupled large-scale systems ⋮ Discussion on: ``An algorithm for solving a perturbed algebraic Riccati equation

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