| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4633867 | Applied Mathematics and Computation | 2008 | 8 Pages |
Abstract
We consider a set of discrete-time coupled algebraic Riccati equations that arise in quadratic optimal control. Two iterations for computing a symmetric solution of this system are investigated. New iterations are based on the properties of a Stein equation. It is necessary to solve a Stein equation at each step of proposed algorithms. We adapt the conditions for convergence several previous iterations presented in the literature for solving rational Riccati equations arising in stochastic control.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Ivan Ganchev Ivanov,