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We consider the solution of the rational matrix equations, or generalized algebraic Riccati equations with rational terms, arising in stochastic optimal control in continuous- and discrete-time. Fixed-point iteration and (modified) Newton's methods will be considered. In particular, the convergence results of a new modified Newton's method, for both continuous- and discrete-time rational Riccati equations, will be presented.
Date of Conference: 3-5 March 2011