Solution of the state-dependent noise optimal control problem in terms of Lyapunov iterations

In this paper we present the solution to the algebraic Riccati-type equatio n of the state-dependent noise linear-quadratic optimal control problem in terms of algebraic Lyapunov iterations. By properly initializing the sequen ce of algebraic Lyapunov iterations we got monotonic convergence from above to the positive-definite stabilizing solution of the algebraic Riccati-typ e equation (the solution that represents the optimal solution to the corres ponding optimal control problem). The proposed algorithm requires much less computational efforts than those previously used to solve the same problem . (C) 1999 Elsevier Science Ltd. All rights reserved.