Title :
Scaling of the discrete-time algebraic Riccati equation to enhance stability of the Schur solution method
Author :
Gudmundsson, Thorkell ; Kenney, Charles ; Laub, Alan J.
Author_Institution :
Dept. of Electr. & Comput. Eng., California Univ., Santa Barbara, CA, USA
fDate :
4/1/1992 12:00:00 AM
Abstract :
A simple scaling procedure for discrete-time Riccati equations is introduced. This procedure eliminates instabilities which can be associated with the linear equation solution step of the generalized Schur method without changing the condition of the underlying problem. A computable bound for the relative error of the solution of the Riccati equation is also derived.<>
Keywords :
algebra; stability; Schur solution method; discrete-time algebraic Riccati equation; relative error; scaling procedure; stability; Eigenvalues and eigenfunctions; Error correction; Linear systems; Military computing; Parameter estimation; Riccati equations; Stability; Upper bound; Vectors; Yield estimation;
Journal_Title :
Automatic Control, IEEE Transactions on
