Annals of Mathematical Sciences and Applications
Volume 4 (2019)
Projection methods for rational Riccati equations arising in stochastic optimal control
Pages: 83 – 105
We consider the numerical methods of large-scale rational Riccati equations, arising in stochastic optimal control. We propose a projection method or a Krylov subspace interpretation of the generalized Smith method. More importantly, we prove that some solvability conditions of the rational Riccati equation and their linearizations are inherited by the projected equation.
Krylov subspace, projection method, rational Riccati equation
2010 Mathematics Subject Classification
15A24, 65F30, 93C05
The last two authors were supported respectively by the Ministry of Science and Technology, RoC, and the National Natural Science Foundation, China (Grants MOST-105-2115-M-003-003 and 11601484).
Received 6 March 2019
Published 2 October 2019