A Numerical Method for Solving a Stochastic Algebraic Riccati Equation

Abstract

This paper gives a computational method for solving a stochastic continuous algebraic Riccati equation, which arises in stochastic optimal control and in guaranteed cost control. Our algorithm is a generalized version of the Kleinman's one and to solve a sequence of standard Lyapunov equations. It is shown that the iterations are monotonically convergent. To show that our method is efficient, a numerical example is given.