Residual bounds of the stochastic algebraic Riccati equation

Authors:
Chun-Yueh Chiang;Hung-Yuan Fan
Affiliations:
Center for General Education, National Formosa University, Huwei 632, Taiwan;Department of Mathematics, National Taiwan Normal University, Taipei 116, Taiwan
Venue:
Applied Numerical Mathematics
Year:
2013

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Abstract

In this paper we consider a class of continuous-time algebraic Riccati equations with a constraint of positive definiteness, which occurs in the indefinite stochastic linear quadratic control problems and stochastic H"~ control problems, respectively. The normwise local and non-local residual bounds are derived for a symmetric solution which approximates the unique stabilizing solution to the stochastic algebraic Riccati equation. A numerical example is presented to illustrate the sharpness of ours residual bound.