Unconditionnally stable scheme for Riccati equation
Dubois, François ; Saïdi, Abdelkader
HAL, hal-00558312 / Harvested from HAL
Text on HAL
We present a numerical scheme for the resolution of matrix Riccati equation used in control problems. The scheme is unconditionnally 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 : 2000-07-05
Classification:  control problems,  ordinary differential equations,  stability,  AMS classification : 34H05, 49K15, 65L20, 93C15.,  [MATH.MATH-NA]Mathematics [math]/Numerical Analysis [math.NA] 
@article{hal-00558312,
     author = {Dubois, Fran\c cois and Sa\"\i di, Abdelkader},
     title = {Unconditionnally stable scheme for Riccati equation},
     journal = {HAL},
     volume = {2000},
     number = {0},
     year = {2000},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00558312}
}

Dubois, François; Saïdi, Abdelkader. Unconditionnally stable scheme for Riccati equation. HAL, Tome 2000 (2000) no. 0, . http://gdmltest.u-ga.fr/item/hal-00558312/