Stein iterations for the coupled discrete-time Riccati equations |
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Authors: | Ivan Ganchev Ivanov |
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Institution: | Faculty of Economics and Business Administration, Sofia University “St. Kliment Ohridski”, Sofia 1113, Bulgaria |
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Abstract: | We consider a set of discrete-time coupled algebraic Riccati equations that arise in quadratic optimal control of Markovian jump linear systems. Two iterations for computing a symmetric (maximal) solution of this system are investigated. We construct sequences of the solutions of the decoupled Stein equations and show that these sequences converge to a solution of the considered system. Numerical experiments are given. |
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Keywords: | 15A24 15A45 65F35 |
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