On an iterative algorithm to compute the positive stabilizing solution of generalized algebraic Riccati equations
An iterative algorithm to solve a kind of generalized algebraic Riccati equations (GARE) in LQ stochastic zero-sum game problems is proposed. In our algorithm, we replace the problem of solving a GARE with an indefinite quadratic term by the problem of solving a sequence of GARE with a negative semidefinite quadratic term which can be solved by existing methods. Under some appropriate conditions, we prove that our algorithm is globally convergent.
|Collections||ANU Research Publications|
|Source:||Proceedings of the 2009 Chinese Control and Decision Conference|
|01_Feng_On_an_iterative_algorithm_to_2009.pdf||133.73 kB||Adobe PDF||Request a copy|
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