Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control.
Hung-Yuan FanPeter Chang-Yi WengEric King-Wah ChuPublished in: Numer. Algorithms (2016)
Keyphrases
- numerical solution
- differential equations
- stochastic control
- brownian motion
- dynamical systems
- partial differential equations
- finite difference
- boundary value problem
- optimal control
- queueing systems
- hamilton jacobi
- operations management
- numerical methods
- control problems
- level set
- adaptive control
- image processing
- exact solution
- finite element
- image denoising
- linear systems
- control law
- control scheme
- image enhancement
- multiscale
- sufficient conditions
- multiresolution
- machine learning