Residual bounds of the stochastic algebraic Riccati equation

Chun Yueh Chiang, Hung Yuan Fan

研究成果: 雜誌貢獻期刊論文同行評審

1 引文 斯高帕斯(Scopus)

摘要

In this paper we consider a class of continuous-time algebraic Riccati equations with a constraint of positive definiteness, which occurs in the indefinite stochastic linear quadratic control problems and stochastic H control problems, respectively. The normwise local and non-local residual bounds are derived for a symmetric solution which approximates the unique stabilizing solution to the stochastic algebraic Riccati equation. A numerical example is presented to illustrate the sharpness of ours residual bound.

原文英語
頁(從 - 到)78-87
頁數10
期刊Applied Numerical Mathematics
63
DOIs
出版狀態已發佈 - 2013 一月

ASJC Scopus subject areas

  • Numerical Analysis
  • Computational Mathematics
  • Applied Mathematics

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