DocumentCode
2510655
Title
ARE-type iterations for rational Riccati equations arising in stochastic control
Author
Chu, Eric King-wah ; Li, Tiexiang ; Lin, Wen-Wei
Author_Institution
Sch. of Math. Sci., Monash Univ., Melbourne, VIC, Australia
fYear
2011
fDate
23-25 May 2011
Firstpage
201
Lastpage
206
Abstract
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. The modified Newton´s methods, the DARE-and CARE-type iterations for continuous- and discrete-time rational Riccati equations respectively, will be considered. In particular, the convergence of these new modified Newton´s method will be proved.
Keywords
Newton method; Riccati equations; continuous time systems; convergence; discrete time systems; optimal control; stochastic systems; CARE-type iteration; DARE-type iteration; Newton method; continuous-time system; convergence; discrete-time system; generalized algebraic Riccati equation; rational Riccati equation; rational matrix equation; rational term; stochastic optimal control; Convergence; Differential equations; Optimal control; Riccati equations; algebraic Riccati equation; doubling algorithm; rational Riccati equation; stochastic control system;
fLanguage
English
Publisher
ieee
Conference_Titel
Control and Decision Conference (CCDC), 2011 Chinese
Conference_Location
Mianyang
Print_ISBN
978-1-4244-8737-0
Type
conf
DOI
10.1109/CCDC.2011.5968172
Filename
5968172
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