DocumentCode
3464004
Title
A modified Newton´s method for rational Riccati equations arising in stochastic control
Author
Chu, E.K. ; Tiexiang Li ; Wen-Wei Lin ; Chang-Yi Weng
Author_Institution
Sch. of Math. Sci., Monash Univ., Clayton, VIC, Australia
fYear
2011
fDate
3-5 March 2011
Firstpage
1
Lastpage
6
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. 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.
Keywords
Newton method; Riccati equations; continuous time systems; discrete time systems; optimal control; stochastic systems; Newton method; continuous-time rational Riccati equation; discrete-time rational Riccati equation; fixed-point iteration; generalized algebraic Riccati equation; rational matrix equation; stochastic optimal control; Convergence; Educational institutions; Newton method; Optimal control; Riccati equations; Xenon;
fLanguage
English
Publisher
ieee
Conference_Titel
Communications, Computing and Control Applications (CCCA), 2011 International Conference on
Conference_Location
Hammamet
Print_ISBN
978-1-4244-9795-9
Type
conf
DOI
10.1109/CCCA.2011.6031219
Filename
6031219
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