کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
8900602 | 1631717 | 2018 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Two iterative algorithms for stochastic algebraic Riccati matrix equations
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Two iterative algorithms for stochastic algebraic Riccati matrix equations Two iterative algorithms for stochastic algebraic Riccati matrix equations](/preview/png/8900602.png)
چکیده انگلیسی
In this paper, two iterative algorithms are proposed to solve stochastic algebraic Riccati matrix equations arising in the linear quadratic optimal control problem of linear stochastic systems with state-dependent noise. In the first algorithm, a standard Riccati matrix equation needs to be solved at each iteration step, and in the second algorithm a standard Lyapunov matrix equation needs to be solved at each iteration step. In the proposed algorithms, a weighted average of the estimates in the last and the previous steps is used to update the estimate of the unknown variable at each iteration step. Some properties of the sequences generated by these algorithms under appropriate initial conditions are presented, and the convergence properties of the proposed algorithms are analyzed. Finally, two numerical examples are employed to show the effectiveness of the proposed algorithms.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 339, 15 December 2018, Pages 410-421
Journal: Applied Mathematics and Computation - Volume 339, 15 December 2018, Pages 410-421
نویسندگان
Ai-Guo Wu, Hui-Jie Sun, Ying Zhang,