文献类型：期刊文献

英文题名：Inexact iterative methods for solving matrix Riccati equations arising in stochastic control

作者：Lin, Yiqin[1]; Bao, Liang[2]

机构：[1] Institute of Computational Mathematics, Hunan University of Science and Engineering, Yongzhou 425100, China; [2] Department of Mathematics, East China University of Science and Technology, Shanghai 200237, China

年份：2010

卷号：7

期号：9

起止页码：1860

外文期刊名：Journal of Information and Computational Science

收录：EI(收录号：20111113746594)

语种：英文

外文关键词：Numerical methods - Stochastic systems - Newton-Raphson method - Stochastic control systems

摘要：In this paper, we consider the matrix Riccati equation arising in stochastic control. Newton's method is very expensive since the matrices in applications can be very large. In [1], Guo proposed a much less expensive iteration. We propose an inexact variant which allows one to control the number of the inner iterations, and also give the conditions under which the monotonicity and global convergence results also hold for the inexact method. Numerical tests report the effectiveness of this proposed method. ? 2010 Binary Information Press.