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Monotone convergence of Newton-like methods for M-matrix algebraic Riccati equations
For the algebraic Riccati equation whose four coefficient matrices form a nonsingular $M$-matrix or an irreducible singular $M$-matrix $K$, the minimal nonnegative solution can be found by Newton's method and the doubling ...
On algebraic Riccati equations associated with M-matrices
We consider the algebraic Riccati equation for which the four coefficient matrices form an $M$-matrix $K$. When $K$ is a nonsingular $M$-matrix or an irreducible singular $M$-matrix, the Riccati equation is known to have ...
Iterative methods for a linearly perturbed algebraic matrix Riccati equation arising in stochastic control
(Taylor & Francis, 2013)
We start with a discussion of coupled algebraic Riccati equations arising in the study of linear-quadratic optimal control problem for Markov jump linear systems. Under suitable assumptions, this system of equations has ...