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Monotonicity of algebraic Lyapunov iterations for optimal control of jump parameter linear systems. (English) Zbl 0985.93017
Summary: We show that sequences of solutions to the decoupled algebraic Lyapunov equations are monotonic under proper initialization. These sequences converge from above to the positive-semidefinite stabilizing solutions of the system of coupled algebraic Riccati equations for the optimal control problem of jump parameter linear systems.

MSC:
93B40 Computational methods in systems theory (MSC2010)
93E20 Optimal stochastic control
60J75 Jump processes (MSC2010)
65Y05 Parallel numerical computation
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