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

King-Wah Chu; Tiexiang Li; Wen-wei Lin; Chang-Yi Weng

doi:10.1109/CCCA.2011.6031219

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

King-Wah Chu, Tiexiang Li, Wen-wei Lin, Chang-Yi Weng

School of Mathematics

Research output: Chapter in Book/Report/Conference proceeding › Conference Paper › Research › peer-review

2 Citations (Scopus)

Abstract

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.

Original language	English
Title of host publication	2011 International Conference on Communications, Computing and Control Applications (CCCA'11)
Editors	Aziz Naamane, Lotfi Nabli, Peter Baranyi, Kamel Zidi
Place of Publication	USA
Publisher	IEEE, Institute of Electrical and Electronics Engineers
Pages	1 - 6
Number of pages	6
ISBN (Print)	9781424497959
DOIs	https://doi.org/10.1109/CCCA.2011.6031219
Publication status	Published - 2011
Event	International Conference on Communications, Computing and Control Applications (CCCA 2011) - Le Royal Hammamet Hotel, Hammamet, Tunisia Duration: 3 Mar 2011 → 5 Mar 2011 https://www.ieee.org/conferences_events/conferences/conferencedetails/index.html?Conf_ID=18032

Conference

Conference	International Conference on Communications, Computing and Control Applications (CCCA 2011)
Abbreviated title	CCCA 2011
Country/Territory	Tunisia
City	Hammamet
Period	3/03/11 → 5/03/11
Internet address	https://www.ieee.org/conferences_events/conferences/conferencedetails/index.html?Conf_ID=18032

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10.1109/CCCA.2011.6031219

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Chu, K.-W., Li, T., Lin, W., & Weng, C.-Y. (2011). A modified Newton's method for rational Riccati equations arising in stochastic control. In A. Naamane, L. Nabli, P. Baranyi, & K. Zidi (Eds.), 2011 International Conference on Communications, Computing and Control Applications (CCCA'11) (pp. 1 - 6). IEEE, Institute of Electrical and Electronics Engineers. https://doi.org/10.1109/CCCA.2011.6031219

Chu, King-Wah ; Li, Tiexiang ; Lin, Wen-wei et al. / A modified Newton's method for rational Riccati equations arising in stochastic control. 2011 International Conference on Communications, Computing and Control Applications (CCCA'11). editor / Aziz Naamane ; Lotfi Nabli ; Peter Baranyi ; Kamel Zidi. USA : IEEE, Institute of Electrical and Electronics Engineers, 2011. pp. 1 - 6

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title = "A modified Newton's method for rational Riccati equations arising in stochastic control",

abstract = "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.",

author = "King-Wah Chu and Tiexiang Li and Wen-wei Lin and Chang-Yi Weng",

year = "2011",

doi = "10.1109/CCCA.2011.6031219",

language = "English",

isbn = "9781424497959",

pages = "1 -- 6",

editor = "Aziz Naamane and Lotfi Nabli and Peter Baranyi and Kamel Zidi",

booktitle = "2011 International Conference on Communications, Computing and Control Applications (CCCA'11)",

publisher = "IEEE, Institute of Electrical and Electronics Engineers",

address = "United States of America",

note = "International Conference on Communications, Computing and Control Applications (CCCA 2011), CCCA 2011 ; Conference date: 03-03-2011 Through 05-03-2011",

url = "https://www.ieee.org/conferences_events/conferences/conferencedetails/index.html?Conf_ID=18032",

}

Chu, K-W, Li, T, Lin, W & Weng, C-Y 2011, A modified Newton's method for rational Riccati equations arising in stochastic control. in A Naamane, L Nabli, P Baranyi & K Zidi (eds), 2011 International Conference on Communications, Computing and Control Applications (CCCA'11). IEEE, Institute of Electrical and Electronics Engineers, USA, pp. 1 - 6, International Conference on Communications, Computing and Control Applications (CCCA 2011), Hammamet, Tunisia, 3/03/11. https://doi.org/10.1109/CCCA.2011.6031219

A modified Newton's method for rational Riccati equations arising in stochastic control. / Chu, King-Wah; Li, Tiexiang; Lin, Wen-wei et al.
2011 International Conference on Communications, Computing and Control Applications (CCCA'11). ed. / Aziz Naamane; Lotfi Nabli; Peter Baranyi; Kamel Zidi. USA: IEEE, Institute of Electrical and Electronics Engineers, 2011. p. 1 - 6.

Research output: Chapter in Book/Report/Conference proceeding › Conference Paper › Research › peer-review

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T1 - A modified Newton's method for rational Riccati equations arising in stochastic control

AU - Chu, King-Wah

AU - Li, Tiexiang

AU - Lin, Wen-wei

AU - Weng, Chang-Yi

PY - 2011

Y1 - 2011

N2 - 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.

AB - 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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U2 - 10.1109/CCCA.2011.6031219

DO - 10.1109/CCCA.2011.6031219

M3 - Conference Paper

SN - 9781424497959

SP - 1

EP - 6

BT - 2011 International Conference on Communications, Computing and Control Applications (CCCA'11)

A2 - Naamane, Aziz

A2 - Nabli, Lotfi

A2 - Baranyi, Peter

A2 - Zidi, Kamel

PB - IEEE, Institute of Electrical and Electronics Engineers

CY - USA

T2 - International Conference on Communications, Computing and Control Applications (CCCA 2011)

Y2 - 3 March 2011 through 5 March 2011

ER -

Chu KW, Li T, Lin W, Weng CY. A modified Newton's method for rational Riccati equations arising in stochastic control. In Naamane A, Nabli L, Baranyi P, Zidi K, editors, 2011 International Conference on Communications, Computing and Control Applications (CCCA'11). USA: IEEE, Institute of Electrical and Electronics Engineers. 2011. p. 1 - 6 doi: 10.1109/CCCA.2011.6031219

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

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