科研之友
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摘要
In this paper, a novel incremental Newton's iterative algorithm for investigating the optimal control problem of Ito stochastic systems is presented. Newton's method is employed under the Frechet derivative framework to iteratively solve a stochastic algebraic Riccati equation. Under moderate conditions, the convergence and even quadratic convergence of the proposed incremental Newton's iterative algorithm are discussed, respectively. In addition, the Newton's method is extended to the one with linear search. In the end, numerical results are given to demonstrate the effectiveness and superiority of the proposed algorithms.
