Computing The Stabilizing Solution of a Large Class of Stochastic Game Theoretic Riccati Differential Equations: A Deterministic Approximation
DOI10.1137/15M1049038zbMath1358.93158OpenAlexW2592503195MaRDI QIDQ2968552
Publication date: 17 March 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/15m1049038
Linear systems in control theory (93C05) Optimal stochastic control (93E20) Diffusion processes (60J60) Stochastic games, stochastic differential games (91A15) Stochastic systems in control theory (general) (93E03) Dynamic games (91A25) Continuous-time Markov processes on discrete state spaces (60J27)
Cites Work
- Unnamed Item
- Global solutions to a game-theoretic Riccati equation of stochastic control
- Properties of the solutions of rational matrix difference equations
- Stochastic \(H^2\) optimal control for a class of linear systems with periodic coefficients
- Stabilizing solution of periodic game-theoretic Riccati differential equation of stochastic control
- State-space solutions to standard H/sub 2/ and H/sub infinity / control problems
- Mathematical Methods in Robust Control of Linear Stochastic Systems
This page was built for publication: Computing The Stabilizing Solution of a Large Class of Stochastic Game Theoretic Riccati Differential Equations: A Deterministic Approximation
