ARE-type iterations for rational Riccati equations arising in stochastic control
Eric King‐wah Chu, Tiexiang Li, Wen‐Wei Lin · 2011
We consider the solution of the rational matrix equations, or generalized algebraic Riccati equations with rational terms, arising in stochastic optimal control in continuous-and discrete-time. The modified Newton's methods, the DARE-and CARE-type iterations for continuous- and discrete-time rational Riccati equations respectively, will be considered. In particular, the convergence of these new modified Newton's method will be proved.