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An iterative algorithm to solve state-perturbed stochastic algebraic Riccati equations in LQ zero-sum games

Feng, Yantao; Anderson, Brian

Description

An iterative algorithm to solve a kind of state-perturbed stochastic algebraic Riccati equation (SARE) in LQ zero-sum game problems is proposed. In our algorithm, we replace the problem of solving a SARE with an indefinite quadratic term by the problem of solving a sequence of SAREs 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. We give a numerical example to show the...[Show more]

CollectionsANU Research Publications
Date published: 2010
Type: Journal article
URI: http://hdl.handle.net/1885/59223
Source: Systems and Control Letters
DOI: 10.1016/j.sysconle.2009.11.006

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