A numerical procedure to compute the stabilising solution of game theoretic Riccati equations of stochastic control

International Journal of Control

Volumn 84, Issue 4, 2011, Pages 783-800

  Dragan, Vasile ^a   Ivanov, Ivan ^b  

^a INSTITUTE OF MATHEMATICS   (Romania)

^b UNIVERSITY OF SOFIA   (Bulgaria)

Author keywords

game theoretic Riccati equations; iterative algorithm; stabilising solution; stochastic H

Indexed keywords

ALGEBRAIC RICCATI EQUATIONS; ANDERSONS; CONTROL PROBLEMS; DETECTABILITY; GAME THEORETIC RICCATI EQUATIONS; INDEFINITE QUADRATIC TERM; ITERATIVE ALGORITHM; LYAPUNOV; MARKOVIAN; NUMERICAL COMPUTATIONS; NUMERICAL EXPERIMENTS; NUMERICAL PROCEDURES; RECURSIVE METHODS; STABILISING SOLUTION; STATE-DEPENDENT; STOCHASTIC CONTROL; STOCHASTIC H;

ALGEBRA; ALGORITHMS; AUTOMATION; CONTROL; CONVERGENCE OF NUMERICAL METHODS; GAME THEORY; MATHEMATICAL OPERATORS; STOCHASTIC CONTROL SYSTEMS; STOCHASTIC SYSTEMS; WHITE NOISE;

RICCATI EQUATIONS;

EID: 79958784455     PISSN: 00207179     EISSN: 13665820     Source Type: Journal    
DOI: 10.1080/00207179.2011.578261     Document Type: Article

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