On the numerical properties of the Schur approach for solving the matrix Riccati equation (Q1097641): Difference between revisions

The Schur approach to solving the continuous algebraic matrix Riccati equation, i.e. the reduction of the corresponding Hamiltonian matrix \(H=\left[ \begin{matrix} A\\ -Q\end{matrix} \begin{matrix} -S\\ -A\quad t\end{matrix} \right]\) to upper quasitriangular form \(T=U\) tHU where \(U=\left[ \begin{matrix} U_{11}\\ U_{21}\end{matrix} \begin{matrix} U_{12}\\ U_{22}\end{matrix} \right]\) is an orthogonal matrix, followed by a solution of the matrix equation \(PU_{11}=U_{21}\), is considered. It is shown that the equivalent relative perturbations in the matrices A, Q and S may lead to numerical instability if the norm of some matrix is much smaller than the norm of the other. A numerical example solved by the standard implementation of the Schur approach emphasizes its numerical instability.