## 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.

### MSC:

 65F30 Other matrix algorithms (MSC2010) 65F10 Iterative numerical methods for linear systems 93C55 Discrete-time control/observation systems 65K10 Numerical optimization and variational techniques 49N10 Linear-quadratic optimal control problems 15A24 Matrix equations and identities
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### References:

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