The Hв€ћ algebraic Riccati equations arising in LQ Zero-Sum Stochastic Differential Games

Authors

  • Ivelin Georgiev Ivanov* University of Shumen "Bishop Konstantin Preslavski", College Dobrich
  • Ivan G. Ivanov Faculty of Economics and Business Administration, Sofia University "St. Kl. Ohridski", 125 Tzarigradsko chaussee blvd., bl. 3, Sofia 1113, Bulgaria College Dobrich, Shoumen University, Shoumen, Bulgaria

Abstract

A generalized algebraic Riccati equation arising in stochastic control with indefinite quadratic part is considered. Iterative methods for computing a matrix sequence, which converges to the stabilizing solution of the considered type of Riccati equations with indefinite quadratic parts and convergence properties of these methods are studied. Computer realizations of the presented methods are numerically compared. Based on the experiments the main conclusion is the Lyapunov iteration is faster than the Riccati iteration because these methods carry the same number of iterations. The iterative methods are numerically compared and investigated. The present research paper was supported in a part by the EEA Scholarship Programme BG09 Project Grant D03-91 under the European Economic Area Financial Mechanism.

Author Biography

Ivelin Georgiev Ivanov*, University of Shumen "Bishop Konstantin Preslavski", College Dobrich

University of Shumen Bishop Konstantin Preslavski
College – Dobrich
"Informatics and Mathematics"

associate professor

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Published

2016-09-06

Issue

Vol. 3 No. 2 (2016)

Section

Conference Contributions

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