Solution of generalized matrix Riccati differential equation for indefinite stochastic linear quadratic singular system using neural networks

In this paper, solution of generalized matrix Riccati differential equation (GMRDE) for indefinite stochastic linear quadratic singular system is obtained using neural networks. The goal is to provide optimal control with reduced calculus effort by comparing the solutions of GMRDE obtained from well known traditional Runge Kutta (RK) method and nontraditional neural network method. To obtain the optimal control, the solution of GMRDE is computed by feed forward neural network (FFNN). Accuracy of the solution of the neural network approach to the problem is qualitatively better. The neural network solution is also compared with the solution of ode45, a standard solver available in MATLAB which implements RK method for variable step size. The advantage of the proposed approach is that, once the network is trained, it allows instantaneous evaluation of solution at any desired number of points spending negligible computing time and memory. The computation time of the proposed method is shorter than the traditional RK method. An illustrative numerical example is presented for the proposed method. 2008 Elsevier Inc. All rights reserved.