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BIMSA Computational Math Seminar
Stochastic algebraic Riccati equations are almost as easy as deterministic ones theoretically
Stochastic algebraic Riccati equations are almost as easy as deterministic ones theoretically
Organizers
Zhen Li
,
Xin Liang
,
Zhi Ting Ma
,
Hamid Mofidi
,
Li Wang
,
Fan Sheng Xiong
,
Shuo Yang
,
Wu Yue Yang
Speaker
Zhen-Chen Guo (Nankai)
Time
Monday, October 28, 2024 3:00 PM - 4:00 PM
Venue
A3-4-312
Online
Zoom 928 682 9093
(BIMSA)
Abstract
Stochastic algebraic Riccati equations, also known as rational algebraic Riccati equations, arising in linear-quadratic optimal control for stochastic linear time-invariant systems, were considered to be not easy to solve. The state-of-the-art numerical methods mostly rely on differentiability or continuity, such as the Newton-type method, the LMI method, or the homotopy method. In this talk, we will build a novel theoretical framework and reveal the intrinsic algebraic structure appearing in this kind of algebraic Riccati equation. This structure guarantees that to solve them is almost as easy as to solve deterministic/classical ones, which will shed light on the theoretical
analysis and numerical algorithm design for this topic.
analysis and numerical algorithm design for this topic.