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Numerical Solution of the Discrete-Time Coupled Algebraic Riccati Equations

  • Ivan Ganchev Ivanov
Part of the Lecture Notes in Computer Science book series (LNCS, volume 5434)

Abstract

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.

Keywords

Riccati Equation Linear Matrix Equation Jump Linear System Stein Equation Hermitian Solution 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  • Ivan Ganchev Ivanov
    • 1
  1. 1.Faculty of Economics and Business AdministrationSofia University ”St. Kliment Ohridski”SofiaBulgaria

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