A modified Newton's method for rational Riccati equations arising in stochastic control

Eric King-wah Chu Tiexiang Li Wen-Wei Lin Chang-Yi Weng

Numerical Analysis and Scientific Computing mathscidoc:1912.43746

1-6, 2011.3
We consider the solution of the rational matrix equations, or generalized algebraic Riccati equations with rational terms, arising in stochastic optimal control in continuous- and discrete-time. Fixed-point iteration and (modified) Newton's methods will be considered. In particular, the convergence results of a new modified Newton's method, for both continuous- and discrete-time rational Riccati equations, will be presented.
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@inproceedings{eric2011a,
  title={A modified Newton's method for rational Riccati equations arising in stochastic control},
  author={Eric King-wah Chu, Tiexiang Li, Wen-Wei Lin, and Chang-Yi Weng},
  url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191224205452348225310},
  pages={1-6},
  year={2011},
}
Eric King-wah Chu, Tiexiang Li, Wen-Wei Lin, and Chang-Yi Weng. A modified Newton's method for rational Riccati equations arising in stochastic control. 2011. pp.1-6. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191224205452348225310.
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