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

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Feng, Yantao; Anderson, Brian

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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.

dc.contributor.authorFeng, Yantao
dc.contributor.authorAnderson, Brian
dc.coverage.spatialGuilin China
dc.date.accessioned2015-12-10T22:24:47Z
dc.date.createdJune 17-19 2009
dc.identifier.isbn9781424438723
dc.identifier.urihttp://hdl.handle.net/1885/53226
dc.description.abstractAn 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.
dc.publisherInstitute of Electrical and Electronics Engineers (IEEE Inc)
dc.relation.ispartofseriesChinese Control and Decision Conference (CCDC 2009)
dc.sourceProceedings of the 2009 Chinese Control and Decision Conference
dc.subjectKeywords: Existing method; GARE; Generalized algebraic riccati equations; Globally convergent; Indefinite quadratic term; Iterative; Iterative algorithm; Negative semi-definite; Stochastic; Stochastic zeros; Algebra; Algorithms; Game theory; Iterative methods; Prob GARE; Iterative; Stochastic
dc.titleOn an iterative algorithm to compute the positive stabilizing solution of generalized algebraic Riccati equations
dc.typeConference paper
local.description.notesImported from ARIES
local.description.refereedYes
dc.date.issued2009
local.identifier.absfor091302 - Automation and Control Engineering
local.identifier.ariespublicationu4334215xPUB268
local.type.statusPublished Version
local.contributor.affiliationFeng, Yantao, College of Engineering and Computer Science, ANU
local.contributor.affiliationAnderson, Brian, College of Engineering and Computer Science, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.startpage3530
local.bibliographicCitation.lastpage3534
local.identifier.doi10.1109/CCDC.2009.5192595
dc.date.updated2016-02-24T10:59:36Z
local.identifier.scopusID2-s2.0-70449346265
CollectionsANU Research Publications

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