Title :
An iterative algorithm to solve periodic Riccati differential equations with an indefinite quadratic term
Author :
Feng, Yantao ; Anderson, Brian D O
Author_Institution :
Res. Sch. of Inf. Sci. & Eng., Australian Nat. Univ., Canberra, ACT, Australia
Abstract :
An iterative algorithm to solve periodic Riccati differential equations (PRDE) with an indefinite quadratic term is proposed. In our algorithm, we replace the problem of solving a PRDE with an indefinite quadratic term by the problem of solving a sequence of PRDEs with a negative semidefinite quadratic term which can be solved by existing methods. The global convergence is guaranteed and a proof is given.
Keywords :
Riccati equations; differential equations; iterative methods; indefinite quadratic term; iterative algorithm; negative semidefinite quadratic term; periodic Riccati differential equations; Australia Council; Circuits; Control systems; Differential equations; Government; Hydrogen; Iterative algorithms; Riccati equations; Time varying systems;
Conference_Titel :
Decision and Control, 2008. CDC 2008. 47th IEEE Conference on
Conference_Location :
Cancun
Print_ISBN :
978-1-4244-3123-6
Electronic_ISBN :
0191-2216
DOI :
10.1109/CDC.2008.4738777
