Residual bounds of approximate solutions of the discrete-time algebraic Riccati equation (Q1377025)
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| English | Residual bounds of approximate solutions of the discrete-time algebraic Riccati equation |
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Residual bounds of approximate solutions of the discrete-time algebraic Riccati equation (English)
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1 February 1998
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Perturbation theory is investigated for the discrete-time algebraic Riccati equation which arises in the solution of quadratic optimization and estimation problems in linear control theory. The main contribution of the paper is to derive residual bounds for the approximate solution. Firstly one studies stable matrices. Then one derives a perturbation equation which contains the residual of the Riccati equation w.r.t. the approximate Hermitian solution. Bounds for the approximate solution are obtained. A numerical example is displayed.
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error bounds
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perturbation theory
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discrete-time algebraic Riccati equation
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quadratic optimization
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linear control theory
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approximate Hermitian solution
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numerical example
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