Residual bounds of the stochastic algebraic Riccati equation

DOI10.1016/j.apnum.2012.09.007zbMath1256.93110OpenAlexW2069223311MaRDI QIDQ1932643

Chun-Yueh Chiang, Hung-Yuan Fan

Publication date: 21 January 2013

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2012.09.007

zbMATH Keywords

stabilizing solutiona-posteriori error boundresidual boundforward errorstochastic algebraic Riccati equationsstochastic linear quadratic controlconstraint of positive definitenessnon-local symmetric solutionstochastic \(H_{\infty }\) control problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Identification in stochastic control theory (93E12) Linear-quadratic optimal control problems (49N10)

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