Solution of the state-dependent noise optimal control problem in terms of Lyapunov iterations
The authors consider the linear quadratic regulator for a linear system disturbed by white noise and by an independent state dependent white noise. For the associated Riccati-type equation, they study the convergence of an algorithm based on Lyapunov iterations, show how to initialise the iterations to achieve convergence, and prove it.
scientific article; zbMATH DE number 1325766