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On an iterative algorithm to compute the positive stabilizing solution of generalized algebraic Riccati equations

Feng, Yantao; Anderson, Brian

Description

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.

CollectionsANU Research Publications
Date published: 2009
Type: Conference paper
URI: http://hdl.handle.net/1885/53226
Source: Proceedings of the 2009 Chinese Control and Decision Conference
DOI: 10.1109/CCDC.2009.5192595

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