Iterative Methods for a Linearly Perturbed Algebraic Matrix Riccati Equation Arising in Stochastic Control
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Publication:2841911
DOI10.1080/01630563.2012.738272zbMath1275.65023OpenAlexW2069027429MaRDI QIDQ2841911
Publication date: 30 July 2013
Published in: Numerical Functional Analysis and Optimization (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10294/5260
optimal controliterative methodsconvergence ratematrix equationcoupled algebraic Riccati equationsLyapunov iterationMarkov jump linear systemlinearly perturbed Riccati equation
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Related Items (4)
New unified matrix upper bound on the solution of the continuous coupled algebraic Riccati equation ⋮ On the convergence of the accelerated Riccati iteration method ⋮ Two iterative algorithms for stochastic algebraic Riccati matrix equations ⋮ Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control
Cites Work
- Stability of stochastic systems with uncertain time delays
- A new approach to lineary perturbed Riccati equations arising in stochastic control
- Monotonicity of algebraic Lyapunov iterations for optimal control of jump parameter linear systems
- Solutions for the linear-quadratic control problem of Markov jump linear systems
- On some iterations for optimal control of jump linear equations
- Lyapunov iterations for optimal control of jump linear systems at steady state
- Algorithm 432 [C2: Solution of the matrix equation AX + XB = C [F4]]
- On a Matrix Riccati Equation of Stochastic Control
- Frobenius Theory of Positive Operators: Comparison Theorems and Applications
- Newton's method for a rational matrix equation occurring in stochastic control
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