Several Iterative Procedures to Compute the Stabilizing Solution of a Discrete-time Riccati Equation with Periodic Coefficients Arising in Connection with a Stochastic Linear Quadratic Control Problem∗
نویسندگان
چکیده
We consider a discrete-time periodic generalized Riccati equation. We investigate a few iterative methods for computing the stabilizing solution. The first method is the Kleinman algorithm which is a special case of the classical Newton-Kantorovich procedure, the second one is a method of consistent iterations and two new Stein iterations. The proposed methods are tested and illustrated via some numerical examples. MSC: 15A24, 15A45, 49N10, 49N20, 65F35 ∗Accepted for publication on January 5-th, 2015 †[email protected] Institute of Mathematics ”Simion Stoilow” of the Romanian Academy, Research Unit 2, POBox 1-764, RO-014700, Bucharest, Romania i−[email protected] Faculty of Economics and Business Administration, Sofia University, Sofia 1113, Bulgaria, and Pedagogical College Dobrich, Shoumen University, Shoumen, Bulgaria
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