DocumentCode
1518157
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
Volume
44
Issue
6
fYear
1999
fDate
6/1/1999 12:00:00 AM
Firstpage
1216
Lastpage
1220
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;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.769377
Filename
769377
Link To Document