2022
DOI: 10.48550/arxiv.2207.11220
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Stochastic algebraic Riccati equations are almost as easy as deterministic ones

Abstract: Stochastic algebraic Riccati equations, a.k.a. rational algebraic Riccati equations, arising in linear-quadratic optimal control for stochastic linear time-invariant systems, were considered to be not easy to solve. The-state-of-art numerical methods most rely on differentiability or continuity, such as Newton-type method, LMI method, or homotopy method. In this paper, we will build a novel theoretical framework and reveal the intrinsic algebraic structure appearing in this kind of algebraic Riccati equations.… Show more

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