Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control

DOI10.1007/s11075-015-9991-8zbMath1333.65064OpenAlexW2092275968MaRDI QIDQ5963405

Peter Chang-Yi Weng, Hung-Yuan Fan, Eric King-Wah Chu

Publication date: 19 February 2016

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-015-9991-8

zbMATH Keywords

algorithmcomputational complexityconvergencenumerical exampleNewton's methodalgebraic Riccati equationstochastic optimal controlerror analysislarge-scale problembilinear model order reductiongeneralized Lyapunov equationgeneralized Stein equationrational Riccati equationSmith methodstochastic algebraic Riccati equation

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Newton-type methods (49M15) Matrix equations and identities (15A24) Optimal stochastic control (93E20) Complexity and performance of numerical algorithms (65Y20) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (8)

A quadratic bilinear equation arising from the quadratic dynamical system ⋮ Combined real and imaginary parts method for solving generalized Lyapunov matrix equation ⋮ Matrix iteration algorithms for solving the generalized Lyapunov matrix equation ⋮ Small-sample statistical condition estimation of rational Riccati equations ⋮ Stochastic Algebraic Riccati Equations Are Almost as Easy as Deterministic Ones Theoretically ⋮ Solving two generalized nonlinear matrix equations ⋮ A new approximation algorithm for solving generalized Lyapunov matrix equations ⋮ A new solution of pair matrix equations with arbitrary triangular fuzzy numbers

Uses Software

• Matlab
• MESS

Cites Work

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