Modified Riccati iterative algorithms for stochastic coupled algebraic Riccati equations of linear stochastic Markovian jump systems

This paper investigates the stochastic coupled algebraic Riccati equations (SCAREs) associated with linear stochastic Markovian jump systems. First, two existing algorithms utilized to solve the SCAREs are reviewed and discussed. Second, based on the analysis of these two algorithms, a modified Ricc...

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Bibliographic Details
Published in:Asian journal of control Vol. 26; no. 4; pp. 1787 - 1796
Main Authors: Liu, Meijun, Zhao, Xueyan, Deng, Feiqi
Format: Journal Article
Language:English
Published: Hoboken Wiley Subscription Services, Inc 01.07.2024
Subjects:
Iterative algorithms
linear stochastic Markovian jump systems
Parameter modification
Riccati equation
Riccati iterative algorithms
stochastic coupled algebraic Riccati equations (SCAREs)
ISSN:1561-8625, 1934-6093
Online Access:Get full text
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Summary:This paper investigates the stochastic coupled algebraic Riccati equations (SCAREs) associated with linear stochastic Markovian jump systems. First, two existing algorithms utilized to solve the SCAREs are reviewed and discussed. Second, based on the analysis of these two algorithms, a modified Riccati iterative algorithm is proposed with a tuning parameter added. It is verified that the proposed algorithm with zero initial values converges to the unique positive definite solution of the SCAREs with fast speed. Furthermore, two numerical examples are given to verify the efficiency and superiority of the proposed algorithm.
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ISSN:1561-8625
1934-6093
DOI:10.1002/asjc.3300