A modified Newton's method for rational Riccati equations arising in stochastic control
Eric King‐wah Chu, Tiexiang Li, Wen‐Wei Lin, Chang-Yi Weng · 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. Fixed-point iteration and (modified) Newton's methods will be considered. In particular, the convergence results of a new modified Newton's method, for both continuous- and discrete-time rational Riccati equations, will be presented.