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Temporal difference methods for the maximal solution of discrete-time coupled algebraic Riccati equations. (English) Zbl 0984.93051
The authors present an iterative technique for deriving the maximal solution of a set of discrete-time coupled algebraic Riccati equations, based on temporal difference methods. They trace a parallel with the theory of temporal difference algorithms for Markovian decision processes to develop a $\lambda$-policy iteration like algorithm for the maximal solution of these equations. The advantage of the proposed method is that an appropriate choice of $\lambda$ between 0 and 1 can speed up the convergence of the policy evaluation step of the policy iteration method by using value iteration.
##### MSC:
 93C55 Discrete-time control systems 93C40 Adaptive control systems 65F30 Other matrix algorithms 49N10 Linear-quadratic optimal control problems 93B40 Computational methods in systems theory