An algorithm for solving the singularly perturbed H∞ algebraic Riccati equation

The algebraic Riccati equation of singularly perturbed H∞ linear-quadratic optimal control problems is decoupled into two completely independent, reduced-order, pure-slow, and pure-fast H∞ algebraic Riccati equations. Even though the algebraic Riccati equations obtained are nonsymmetric, they are efficiently solved in terms of Lyapunov iterations by using the Newton method. The presented algorithm can be used for H∞ parallel filtering and regulation of systems displaying two-time scale dynamics.