On the Matrix EquationX = Q − S∗X†S
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Publication:3444670
DOI10.1080/01630560701250036zbMath1122.65040OpenAlexW1966385254MaRDI QIDQ3444670
Publication date: 4 June 2007
Published in: Numerical Functional Analysis and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/01630560701250036
Schur complementpseudoinverseStein equationquadratic matrix equationgeneralized algebraic Riccati equationlinear quadratic stochastic control problems
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Cites Work
- Positive solutions to \(X=A-BX^{-1}B^*\)
- Simultaneous equations models in applied search theory
- On the existence of a positive definite solution of the matrix equation \(X+A^ T X^{-1} A=I\)
- On a class of rational matrix differential equations arising in stochastic control.
- Well-posedness and attainability of indefinite stochastic linear quadratic control in infinite time horizon
- Necessary and sufficient conditions for the existence of a positive definite solution of the matrix equation \(X+A^*X^{-1}A=Q\)
- Properties of the solutions of rational matrix difference equations
- Inner, outer, and generalized inverses in banach and hilbert spaces
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
- Iterative solution of two matrix equations
- Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
- Efficient computation of the extreme solutions of $X+A^*X^{-1}A=Q$ and $X-A^*X^{-1}A=Q$
- Improved methods and starting values to solve the matrix equations $X\pm A^*X^{-1}A=I$ iteratively
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