Title :
Solving discrete algebraic Riccati equations: A new recursive method
Author :
Feng, Yantao ; Anderson, Brian D O ; Chen, Weitian
Abstract :
In this paper, an iterative algorithm is proposed to solve discrete time algebraic Riccati equations (DARE) with a sign indefinite quadratic term, which arise from linear discrete time H¿ control. By constructing two positive semidefinite matrix sequences, we obtain the stabilizing solution of the given DARE. The algorithm has a global convergence property.
Keywords :
H¿ control; Riccati equations; discrete time systems; linear systems; recursive estimation; discrete time algebraic Riccati equations; global convergence property; linear discrete time H¿ control; recursive method; semideflnite matrix sequences; sign indefinite quadratic term; Convergence of numerical methods; Difference equations; Eigenvalues and eigenfunctions; Game theory; Hydrogen; Iterative algorithms; Nonlinear equations; Riccati equations;
Conference_Titel :
Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference. CDC/CCC 2009. Proceedings of the 48th IEEE Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4244-3871-6
Electronic_ISBN :
0191-2216
DOI :
10.1109/CDC.2009.5400097
