A novel iterative algorithm for solving coupled Riccati equations

DOI10.1016/j.amc.2019.124645zbMath1433.93156OpenAlexW2968249561WikidataQ127347216 ScholiaQ127347216MaRDI QIDQ2284060

Ai-guo Wu, Hui-Jie Sun, Ying Zhang

Publication date: 14 January 2020

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2019.124645

zbMATH Keywords

optimal controliterative algorithmRiccati equationsMarkovian jump systems

Mathematics Subject Classification ID

Stabilization of systems by feedback (93D15) Numerical computation of solutions to systems of equations (65H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic systems in control theory (general) (93E03) Optimality conditions for problems involving randomness (49K45) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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