Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
471519 | Computers & Mathematics with Applications | 2007 | 12 Pages |
Abstract
We consider different iterative methods for computing a Hermitian or maximal Hermitian solution of two types rational Riccati equations arising in stochastic control. The classical Newton procedure and its modification applied to equations are very expensive. New less expensive iterations for these equations are introduced and some convergence properties of the new iterations are proved.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Ivan Ganchev Ivanov,