Feng, Yantao; Anderson, Brian
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.
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