Incremental Newton's iterative algorithm for optimal control of Itô stochastic systems
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Publication:2079152
DOI10.1016/j.amc.2022.126958OpenAlexW4229053011MaRDI QIDQ2079152
Jiayue Tian, Fei Qi Deng, Xue-yan Zhao
Publication date: 4 March 2022
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2022.126958
Numerical linear algebra (65Fxx) Stochastic systems and control (93Exx) Controllability, observability, and system structure (93Bxx)
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Cites Work
- On unified concepts of detectability and observability for continuous-time stochastic systems
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- Inexact Kleinman–Newton Method for Riccati Equations
- Numerical solution of the state dependent noise problem
- Analysis and modificaton of Newton’s method for algebraic Riccati equations
- An implicit iterative algorithm with a tuning parameter for Itô Lyapunov matrix equations
- On a Newton-Like Method for Solving Algebraic Riccati Equations
- RobustH2/H∞control for a class of time-varying nonlinear stochastic systems with state- and control-dependent noises
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