Numerical Solution of the Discrete-Time Coupled Algebraic Riccati Equations
We consider the numerical solution of a set of discrete-time coupled algebraic Riccati equations that arise in quadratic optimal control. Several iterations for computing a symmetric solution of this system are investigated and compared. New iterations are based on the properties of a Stein equation. It is necessary to solve a Stein equation at each step of considered algorithms. We will compare the corresponding solvers in regard of accuracy, number of iterations and time of executing. Several sets of test examples are used to demonstrate the performance.
KeywordsRiccati Equation Linear Matrix Equation Jump Linear System Stein Equation Hermitian Solution
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