ARE-type iterations for rational Riccati equations arising in stochastic control

King-Wah Chu; Tiexiang Li; Wen-wei Lin

doi:10.1109/CCDC.2011.5968172

ARE-type iterations for rational Riccati equations arising in stochastic control

King-Wah Chu, Tiexiang Li, Wen-wei Lin

School of Mathematics

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

1 Citation (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. The modified Newton s methods, the DARE-and CARE-type iterations for continuous- and discrete-time rational Riccati equations respectively, will be considered. In particular, the convergence of these new modified Newton s method will be proved.

Original language	English
Title of host publication	Proceedings of the 2011 Chinese Control and Decision Conference, CCDC 2011
Editors	Hongwu Cao, Xing Zhu
Place of Publication	USA
Publisher	IEEE, Institute of Electrical and Electronics Engineers
Pages	201 - 206
Number of pages	6
ISBN (Print)	9781424487363
DOIs	https://doi.org/10.1109/CCDC.2011.5968172
Publication status	Published - 2011
Event	Chinese Control and Decision Conference 2011 - Sichuan Province, Mianyang, China Duration: 23 May 2011 → 25 May 2011 Conference number: 23rd https://www.ieee.org/conferences_events/conferences/conferencedetails/index.html?Conf_ID=17917

Conference

Conference	Chinese Control and Decision Conference 2011
Abbreviated title	CCDC 2011
Country/Territory	China
City	Mianyang
Period	23/05/11 → 25/05/11
Internet address	https://www.ieee.org/conferences_events/conferences/conferencedetails/index.html?Conf_ID=17917

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10.1109/CCDC.2011.5968172

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title = "ARE-type iterations 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. The modified Newton s methods, the DARE-and CARE-type iterations for continuous- and discrete-time rational Riccati equations respectively, will be considered. In particular, the convergence of these new modified Newton s method will be proved.",

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

year = "2011",

doi = "10.1109/CCDC.2011.5968172",

language = "English",

isbn = "9781424487363",

pages = "201 -- 206",

editor = "Hongwu Cao and Xing Zhu",

booktitle = "Proceedings of the 2011 Chinese Control and Decision Conference, CCDC 2011",

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

address = "United States of America",

note = "Chinese Control and Decision Conference 2011, CCDC 2011 ; Conference date: 23-05-2011 Through 25-05-2011",

url = "https://www.ieee.org/conferences_events/conferences/conferencedetails/index.html?Conf_ID=17917",

}

Chu, K-W, Li, T & Lin, W 2011, ARE-type iterations for rational Riccati equations arising in stochastic control. in H Cao & X Zhu (eds), Proceedings of the 2011 Chinese Control and Decision Conference, CCDC 2011. IEEE, Institute of Electrical and Electronics Engineers, USA, pp. 201 - 206, Chinese Control and Decision Conference 2011, Mianyang, China, 23/05/11. https://doi.org/10.1109/CCDC.2011.5968172

ARE-type iterations for rational Riccati equations arising in stochastic control. / Chu, King-Wah; Li, Tiexiang; Lin, Wen-wei.
Proceedings of the 2011 Chinese Control and Decision Conference, CCDC 2011. ed. / Hongwu Cao; Xing Zhu. USA: IEEE, Institute of Electrical and Electronics Engineers, 2011. p. 201 - 206.

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

TY - GEN

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AU - Chu, King-Wah

AU - Li, Tiexiang

AU - Lin, Wen-wei

N1 - Conference code: 23rd

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. The modified Newton s methods, the DARE-and CARE-type iterations for continuous- and discrete-time rational Riccati equations respectively, will be considered. In particular, the convergence of these new modified Newton s method will be proved.

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. The modified Newton s methods, the DARE-and CARE-type iterations for continuous- and discrete-time rational Riccati equations respectively, will be considered. In particular, the convergence of these new modified Newton s method will be proved.

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U2 - 10.1109/CCDC.2011.5968172

DO - 10.1109/CCDC.2011.5968172

M3 - Conference Paper

SN - 9781424487363

SP - 201

EP - 206

BT - Proceedings of the 2011 Chinese Control and Decision Conference, CCDC 2011

A2 - Cao, Hongwu

A2 - Zhu, Xing

PB - IEEE, Institute of Electrical and Electronics Engineers

CY - USA

T2 - Chinese Control and Decision Conference 2011

Y2 - 23 May 2011 through 25 May 2011

ER -

ARE-type iterations for rational Riccati equations arising in stochastic control

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