Abstract
The fixed point method is developed for obtaining efficient numerical solution of linear-quadratic Gaussian problem for singularly perturbed systems. It is shown that each iteration step improves the accuracy by an order of magnitude, i.e., the accuracy of O(?k) can be obtained by doing only k-1 iterations. On the other hand, only low-order systems are involved in algebraic manipulations, and no analicity requirements are imposed on the system coefficients.
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