Homotopy for Rational Riccati Equations Arising in Stochastic Optimal Control

DOI10.1137/140953204zbMath1325.65064OpenAlexW1989883989MaRDI QIDQ5251925

Eric King-Wah Chu, Hung-Yuan Fan, Li-Ping Zhang, Yi-Min Wei

Publication date: 21 May 2015

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/140953204

zbMATH Keywords

generalized Lyapunov equationgeneralized Stein equationstochastic algebraic Riccati equationstochastic optional controlrational algebraic Riccati equation

Mathematics Subject Classification ID

Related Items (3)

Fourth-order tensor Riccati equations with the Einstein product ⋮ Small-sample statistical condition estimation of rational Riccati equations ⋮ Stochastic Algebraic Riccati Equations Are Almost as Easy as Deterministic Ones Theoretically

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