Title :
An algorithm using the HR process for solving the closed-loop eigenvalues of a discrete-time algebraic Riccati equation
Author :
Lu, Lin-Zhang ; Ji, Xingzhi ; Jiang, Hong
Author_Institution :
Dept. of Math., Xiamen Univ., China
fDate :
8/1/1994 12:00:00 AM
Abstract :
Presents a numerical approach to the closed-loop spectrum of a discrete-time algebraic Riccati equation. The concerned symplectic pencil N-λL is proven to be equivalent to the pencil P-λQ, where P is skew-symmetric and Q is symmetric. Then the HR process, which can be viewed as a generalization of the QR method, is applied to compute the eigenvalue of P-λQ. Some numerical examples are included
Keywords :
difference equations; eigenvalues and eigenfunctions; matrix algebra; nonlinear differential equations; optimal control; HR process; QR method; closed-loop eigenvalues; closed-loop spectrum; discrete-time algebraic Riccati equation; numerical approach; symplectic pencil; Algebra; Control systems; Councils; Difference equations; Differential algebraic equations; Differential equations; Eigenvalues and eigenfunctions; Filters; Mathematics; Riccati equations;
Journal_Title :
Automatic Control, IEEE Transactions on
