Title :
An efficient algorithm for the discrete-time algebraic Riccati equation
Author :
Lu, L.-Z. ; Lin, W.-W. ; Pearce, C.E.M.
Author_Institution :
Dept. of Math., Xiamen Univ., China
fDate :
6/1/1999 12:00:00 AM
Abstract :
The authors develop an algorithm to solve the standard discrete-time algebraic Riccati equation by using a skew-Hamiltonian transformation and the square-root method. The algorithm is structure-preserving and efficient because the Hamiltonian structure is fully exploited and only orthogonal transformations are used. The efficiency and stability of the algorithm are analyzed, numerical examples are included
Keywords :
Riccati equations; discrete time systems; matrix algebra; numerical stability; discrete-time algebraic Riccati equation; orthogonal transformations; skew-Hamiltonian transformation; square-root method; Algorithm design and analysis; Eigenvalues and eigenfunctions; Filtering theory; Mathematics; Optimal control; Riccati equations; Signal processing algorithms; Stability analysis; Standards development; Symmetric matrices;
Journal_Title :
Automatic Control, IEEE Transactions on
