March 5, 2024Open Access

ISC: an RADI-type method for stochastic continuous-time algebraic Riccati equations

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Abstract

In this paper, we propose an RADI-type method for large-scale stochastic continuous-time algebraic Riccati equations with sparse and low-rank structures. The so-called ISC method is developed by using the Incorporation idea together with different Shifts to accelerate the convergence and Compressions to reduce the storage and complexity. Numerical experiments are given to show its efficiency.

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Guo et al. (Tue,) studied this question.

synapsesocial.com/papers/68e75b28b6db6435876d24a4 https://doi.org/https://doi.org/10.48550/arxiv.2403.02940

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