Homographic scheme for Riccati equation
Dubois, François ; Saïdi, Abdelkader
HAL, hal-00554484 / Harvested from HAL
Text on HAL
In this paper we present a numerical scheme for the resolution of matrix Riccati equation, usualy used in control problems. The scheme is unconditionnaly stable and the solution is definite positive at each time step of the resolution. We prove the convergence in the scalar case and present several numerical experiments for classical test cases.
Publié le : 2000-08-29
Classification:  stability,  control problems,  ordinary differential equations,  stability.,  AMS : 34H05, 49K15, 65L20, 93C15.,  [MATH.MATH-NA]Mathematics [math]/Numerical Analysis [math.NA] 
@article{hal-00554484,
     author = {Dubois, Fran\c cois and Sa\"\i di, Abdelkader},
     title = {Homographic scheme for Riccati equation},
     journal = {HAL},
     volume = {2000},
     number = {0},
     year = {2000},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00554484}
}

Dubois, François; Saïdi, Abdelkader. Homographic scheme for Riccati equation. HAL, Tome 2000 (2000) no. 0, . http://gdmltest.u-ga.fr/item/hal-00554484/