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Stein iterations for the coupled discrete-time Riccati equations. (English) Zbl 1190.65066
Markovian jump linear systems (MJLS) are a class of models used to represent discrete jumps in continuous dynamics. This paper deals with iterative algorithms for computing solutions of a set of coupled algebraic Riccati equations that appears in quadratic optimal control problems for discrete-time MJLS. Two algorithms using decoupled Stein matrix equations are presented. A numerical example illustrates the proposed methods.

65F30Other matrix algorithms
65F10Iterative methods for linear systems
93C55Discrete-time control systems
65K10Optimization techniques (numerical methods)
49N10Linear-quadratic optimal control problems
15A24Matrix equations and identities
Full Text: DOI
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