随机控制中有理里卡第方程的改进牛顿法

2011 International Conference on Communications, Computing and Control Applications (CCCA) Pub Date : 2011-03-03 DOI:10.1109/CCCA.2011.6031219

E. Chu, Tie-xiang Li, Wen-Wei Lin, Chang-Yi Weng

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引用次数: 6

摘要

研究了连续时间和离散时间随机最优控制中出现的有理数矩阵方程或有理数项的广义代数Riccati方程的解。将考虑不动点迭代和(改进的)牛顿方法。特别地，一个新的改进牛顿方法的收敛结果，对于连续和离散时间有理里卡蒂方程，将被提出。

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A modified Newton's method for rational Riccati equations arising in stochastic control

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.

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2011 International Conference on Communications, Computing and Control Applications (CCCA)

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