A general algorithm for solving the algebraic Riccati equation

The generalized eigenvalue problem provides a suitable framework for reliable solutions of many system theoretic, control, and estimation problems. A general algorithm for solving the matrix algebraic Riccati equation (ARE) which utilizes a pencil structure is described here. This algorithm avoids unnecessary inversion of cost or transition matrices, making it a numerically sound way to solve for the gains and/or ARE with singular quadratic costs, for cases satisfying detectability and stabilizability conditions. Examples are solution with discrete dead-beat control, noiseless measurements in Kalman filters and time-delays in discrete-time systems, which cause difficulties in the Hamiltonian standard eigenvalue problem formulation. The ARE algorithm implementation and numerical examples are shown.