An Iterative Algorithm for the Optimal Control of Itô Stochastic Systems with Markovian Jump

Tian, Jiayue; Zhao, Xueyan

doi:10.1109/yac53711.2021.9486614

2021 36th Youth Academic Annual Conference of Chinese Association of Automation (YAC) 2021

DOI: 10.1109/yac53711.2021.9486614

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An Iterative Algorithm for the Optimal Control of Itô Stochastic Systems with Markovian Jump

Jiayue Tian

Xueyan Zhao

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2025

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An SOR implicit iterative algorithm for coupled Riccati matrix equations in It$ \hat{o} $ stochastic systems with Markovian jump

Chen,

Huang

2025

JIMO

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An SOR implicit iterative algorithm for coupled Riccati matrix equations in It$ \hat{o} $ stochastic systems with Markovian jump

Chen,

Huang

2025

JIMO

View full text Add to dashboard Cite

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An Iterative Algorithm for the Optimal Control of Itô Stochastic Systems with Markovian Jump

Cited by 1 publication

References 13 publications

An SOR implicit iterative algorithm for coupled Riccati matrix equations in It$ \hat{o} $ stochastic systems with Markovian jump

An SOR implicit iterative algorithm for coupled Riccati matrix equations in It$ \hat{o} $ stochastic systems with Markovian jump

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