Dragan, V., Freiling, G., Morozan, T. and Stoica, A.-M. (2008) Iterative Algorithms for Stabilizing Solutions of Game Theoretic Riccati Equations of Stochastic Control. Proceedings of the 18th International Symposium on Mathematical Theory of Networks & Systems, Blacksburg, Virginia, 28 July-1 August 2008, 1-11.
http://scholar.lib.vt.edu/MTNS/Papers/078.pdf

has been cited by the following article:

• TITLE: H∞ Optimal Control Problems for Jump

  AUTHORS: Ivan G. Ivanov, Ivelin G. Ivanov

  KEYWORDS: H∞ Optimal Control Problem, Generalized Riccati Equation, Indefinite Sign, Stabilizing Solution

  JOURNAL NAME: Journal of Mathematical Finance, Vol.5 No.4, November 11, 2015

  ABSTRACT: We consider a set of continuous algebraic Riccati equations with indefinite quadratic parts that arise in H￥ control problems. It is well known that the approach for solving such type of equations is proposed in the literature. Two matrix sequences are constructed. Three effective methods are described for computing the matrices of the second sequence, where each matrix is the stabilizing solution of the set of Riccati equations with definite quadratic parts. The acceleration modifications of the described methods are presented and applied. Computer realizations of the presented methods are numerically compared. In addition, a second iterative method is proposed. It constructs one matrix sequence which converges to the stabilizing solution to the given set of Riccati equations with indefinite quadratic parts. The convergence properties of the second method are commented. The iterative methods are numerically compared and investigated.