Stochastic Algebraic Riccati Equations Are Almost as Easy as Deterministic Ones Theoretically

DOI10.1137/22m1514647arXiv2207.11220OpenAlexW4388569198MaRDI QIDQ6066105

Zhen-Chen Guo, Xin Liang

Publication date: 15 November 2023

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2207.11220

zbMATH Keywords

linear-quadratic optimal controlstochastic controlalgebraic Riccati equationsToeplitzleft semi-tensor productsymplectic

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic systems in control theory (general) (93E03) Numerical methods for matrix equations (65F45)

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