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.
Full Text
Published Version
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call