Nonrecursive solution for the discrete algebraic Riccati equation and X + A*X -1 A=L

Maria Adam ; Nicholas Assimakis

Open Mathematics, Tome 13 (2015), / Harvested from The Polish Digital Mathematics Library

Résumé

In this paper, we present two new algebraic algorithms for the solution of the discrete algebraic Riccati equation. The first algorithm requires the nonsingularity of the transition matrix and is based on the solution of a standard eigenvalue problem for a new symplectic matrix; the proposed algorithm computes the extreme solutions of the discrete algebraic Riccati equation. The second algorithm solves the Riccati equation without the assumption of the nonsingularity of the transition matrix; the proposed algorithm is based on the solution of the matrix equation X + A*X-1A=L, where A is a singular matrix and L a positive definite matrix.

Détail

Publié le : 2015-01-01

Zbl 1309.65046

EUDML-ID : urn:eudml:doc:268822

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