Perturbation analysis of the stochastic algebraic Riccati equation

Abstract

Abstract In this paper we study a general class of stochastic algebraic Riccati equations (SARE) arising from the indefinite linear quadratic control and stochastic H ∞ problems. Using the Brouwer fixed point theorem, we provide sufficient conditions for the existence of a stabilizing solution of the perturbed SARE. We obtain a theoretical perturbation bound for measuring accurately the relative error in the exact solution of the SARE. Moreover, we slightly modify the condition theory developed by Rice and provide explicit expressions of the condition number with respect to the stabilizing solution of the SARE. A numerical example is applied to illustrate the sharpness of the perturbation bound and its correspondence with the condition number. MSC: Primary 15A24; 65F35; secondary 47H10, 47H14.