On an iterative algorithm to compute the positive stabilizing solution of generalized algebraic Riccati equations

摘要：

An iterative algorithm to solve a kind of generalized algebraic Riccati equations (GARE) in LQ stochastic zero-sum game problems is proposed. In our algorithm, we replace the problem of solving a GARE with an indefinite quadratic term by the problem of solving a sequence of GARE with a negative semidefinite quadratic term which can be solved by existing methods. Under some appropriate conditions, we prove that our algorithm is globally convergent.

关键词： GARE Iterative Stochastic

作者: Yantao Feng Brian D. O. Anderson

作者单位: The authors are with Research School of Information Sciences and Engineering, the Australian National University, Canberra ACT 0200, Australia. The authors are also with National ICT Australia Ltd.

会议类型: 国际会议

会议名称: 2009年中国控制与决策会议(2009 Chinese Control and Decision Conference)

会议地点: 广西桂林

会议语种:英文

页码: 3530-3534

在线出版日期: 2009-06-17（万方平台首次上网日期，不代表论文的发表时间）