Computation of the stabilizing solution of game theoretic Riccati equation arising in stochastic \(H_\infty\) control problems

DOI10.1007/s11075-010-9432-7zbMath1219.93114OpenAlexW2079440216MaRDI QIDQ634182

Vasile Dragan, Ivan Ganchev Ivanov

Publication date: 2 August 2011

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

Full work available at URL: https://doi.org/10.1007/s11075-010-9432-7

zbMATH Keywords

iterative algorithmsgame theoretic Riccati equationsstabilizing solutionsstochastic \(H _{ \infty }\)

Mathematics Subject Classification ID

(H^infty)-control (93B36) Adaptive or robust stabilization (93D21) Stochastic stability in control theory (93E15) Stochastic systems in control theory (general) (93E03)

Related Items (5)

Unnamed Item ⋮ Weight splitting iteration methods to solve quadratic nonlinear matrix equation \(MY^2+NY+P=0\) ⋮ Reinforcement learning for exploratory linear-quadratic two-person zero-sum stochastic differential games ⋮ The iterative solution to discrete-time \(H_\infty\) control problems for periodic systems ⋮ On computing the stabilizing solution of a class of discrete‐time periodic Riccati equations

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