@article{32c653f65d404bcea11dca0ef07a0473,
title = "Residual bounds of the stochastic algebraic Riccati equation",
abstract = "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.",
keywords = "A posteriori error bound, Forward error, Residual bound, Stabilizing solution, Stochastic algebraic Riccati equations",
author = "Chiang, {Chun Yueh} and Fan, {Hung Yuan}",
note = "Funding Information: We gratefully thank the editor and two anonymous referees for their helpful comments and suggestions that substantially improve this article. The first author would like to thank the support from National Science Council in Taiwan under grant number NSC100-2115-M-150-001.",
year = "2013",
month = jan,
doi = "10.1016/j.apnum.2012.09.007",
language = "English",
volume = "63",
pages = "78--87",
journal = "Applied Numerical Mathematics",
issn = "0168-9274",
publisher = "Elsevier BV",
}