A Deterministic Setting for the Numerical Computation of the Stabilizing Solutions to Stochastic Game-Theoretic Riccati Equations

Abstract

In this paper, we are interested in the numerical aspects of the class of generalized Riccati difference equations which are involved in linear quadratic (LQ) stochastic difference games. More specifically, we address the problem of the numerical computation of the stabilizing solutions for this class of nonlinear difference equations. We propose an iterative deterministic algorithm for the computation of such a global solution. The performances of the proposed algorithm are illustrated with some numerical examples.

Keywords

• stochastic Riccati equations
• stochastic control
• iterative computation
• deterministic approach