A new iteration to coupled discrete-time generalized Riccati equations
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Publication:382460
DOI10.1007/s40314-013-0037-3zbMath1280.65062OpenAlexW2072057113MaRDI QIDQ382460
Nikolay Netov, Ivan Ganchev Ivanov
Publication date: 19 November 2013
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40314-013-0037-3
convergencenumerical experimentsMarkovian jumpsiterative solutionquadratic optimal controlmaximal and stabilizing solutiontime discrete stochastic Riccati system
Numerical optimization and variational techniques (65K10) Optimal stochastic control (93E20) Existence theories for optimal control problems involving ordinary differential equations (49J15) Existence of optimal solutions to problems involving randomness (49J55)
Cites Work
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