@inproceedings{39789f7acf204008b7841d73c5f379ee,
title = "On an iterative algorithm to compute the positive stabilizing solution of generalized algebraic Riccati equations",
abstract = "An iterative algorithm to solve a kind of generalized algebraic Riccati equations (GARE) in LQ stochastic zero-sum game problems is proposed. In our algorithm, we replace the problem of solving a GARE with an indefinite quadratic term by the problem of solving a sequence of GARE with a negative semidefinite quadratic term which can be solved by existing methods. Under some appropriate conditions, we prove that our algorithm is globally convergent.",
keywords = "GARE, Iterative, Stochastic",
author = "Yantao Feng and Anderson, {Brian D.O.}",
year = "2009",
doi = "10.1109/CCDC.2009.5192595",
language = "English",
isbn = "978-1-4244-2722-2",
series = "IEEE Chinese Control and Decision Conference",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
pages = "3530--3534",
booktitle = "2009 Chinese Control and Decision Conference",
address = "United States",
note = "2009 Chinese Control and Decision Conference, CCDC 2009 ; Conference date: 17-06-2009 Through 19-06-2009",
}